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Persistent link: https://www.econbiz.de/10002836230
In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize the long-run equilibrium of exchange rates, while the...
Persistent link: https://www.econbiz.de/10001753599
In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize the long-run equilibrium of exchange rates, while the...
Persistent link: https://www.econbiz.de/10011507667
Persistent link: https://www.econbiz.de/10011778613
Persistent link: https://www.econbiz.de/10001688472
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Persistent link: https://www.econbiz.de/10003336184
Persistent link: https://www.econbiz.de/10003392199
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...
Persistent link: https://www.econbiz.de/10011349716
We investigate the link between extreme events on the currency and stock markets for 26 countries by estimating a simultaneous equations probit model, using a sample of 2500 daily returns in the period from 1996 to 2005. In a number of emerging markets that went through a period of crisis an...
Persistent link: https://www.econbiz.de/10012779073