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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- Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
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- Shakila Aruman, 2003. "The Effectiveness of Foreign Exchange Intervention in Australia: A Factor Model Approach with GARCH Specifications," School of Economics and Finance Discussion Papers and Working Papers Series 135, School of Economics and Finance, Queensland University of Technology.
- Angelo Polydoro, 2005. "Contagion in Latin America," Macroeconomics 0503008, EconWPA.
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