Volatility 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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Paper provided by La Trobe - Department of Economics in its series Papers with number
99.12.
Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange G15 - Financial Economics - - General Financial Markets - - - International Financial Markets C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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