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Decomposing exchange rate volatility around the Pacific Rim

Listed author(s):
  • Dungey, M. H.

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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File URL: http://www.sciencedirect.com/science/article/pii/S1049-0078(00)00030-0
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Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 10 (1999)
Issue (Month): 4 ()
Pages: 525-535

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Handle: RePEc:eee:asieco:v:10:y:1999:i:4:p:525-535
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
  2. Mahieu, Ronald & Schotman, Peter, 1994. "Neglected common factors in exchange rate volatility," Journal of Empirical Finance, Elsevier, vol. 1(3-4), pages 279-311, July.
  3. Dungey, M., 1997. "A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates," Papers 320, Australian National University - Department of Economics.
  4. Bui, Nhuong & Pippenger, John, 1990. "Commodity prices, exchange rates and their relative volatility," Journal of International Money and Finance, Elsevier, vol. 9(1), pages 3-20, March.
  5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
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