Decomposing exchange rate volatility around the Pacific Rim
AbstractVolatility in exchange rates is decomposed into components associated with domestic and international concerns for six Pacific Rim currencies. A latent factor model is used to model bilateral exchange rate changes as the weighted sum of three factors; two factors are uniquely associated with each of the currencies involved in the exchange rates and the other represents world shocks common to all exchange rates.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 10 (1999)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/asieco
Other versions of this item:
- Mardi H Dungey, 1999. "Decomposing Exchange Rate Volatility Around the Pacific Rim," Working Papers 1999.12, School of Economics, La Trobe University.
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