Modeling Exchange Rate Volatility
This paper investigates the impact of the volatility of the underlying macroeconomic fundamentals on exchange rate volatility utilizing the bounds testing approach to cointegration. The results show that, in the long run the volatility of the money supply is the sole determinant, whereas in the short run overshooting is found. Copyright © 2010 Blackwell Publishing Ltd.
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Volume (Year): 18 (2010)
Issue (Month): 1 (02)
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