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Exchange Rate Volatility: Does Politics Matter?

  • Lobo, Bento J.
  • Tufte, David

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File URL: http://www.sciencedirect.com/science/article/B6X4M-46P9Y3M-26/2/9c39f3c2e43fe6fe696a62cb2485e02e
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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 20 (1998)
Issue (Month): 2 (April)
Pages: 351-365

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Handle: RePEc:eee:jmacro:v:20:y:1998:i:2:p:351-365
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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  1. Chappell, Henry W, Jr & Keech, William R, 1986. "Party Differences in Macroeconomic Policies and Outcomes," American Economic Review, American Economic Association, vol. 76(2), pages 71-74, May.
  2. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-Party System as a Repeated Game," The Quarterly Journal of Economics, MIT Press, vol. 102(3), pages 651-78, August.
  3. Almekinders, Geert J & Eijffinger, Sylvester C W, 1994. "Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?," Empirical Economics, Springer, vol. 19(1), pages 111-30.
  4. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
  5. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
  6. Cukierman, Alex & Meltzer, Allan H, 1986. "A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information," Econometrica, Econometric Society, vol. 54(5), pages 1099-1128, September.
  7. Nordhaus, William D, 1975. "The Political Business Cycle," Review of Economic Studies, Wiley Blackwell, vol. 42(2), pages 169-90, April.
  8. Davidson, Lawrence S. & Fratianni, Michele & von Hagen, Jurgen, 1990. "Testing for political business cycles," Journal of Policy Modeling, Elsevier, vol. 12(1), pages 35-59.
  9. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  10. MacRae, C Duncan, 1977. "A Political Model of the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 85(2), pages 239-63, April.
  11. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  12. Theodossiou, Panayiotis, 1994. "The Stochastic Properties of Major Canadian Exchange Rates," The Financial Review, Eastern Finance Association, vol. 29(2), pages 193-221, May.
  13. Bachman, Daniel, 1992. "The effect of political risk on the forward exchange bias: the case of elections," Journal of International Money and Finance, Elsevier, vol. 11(2), pages 208-219, April.
  14. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
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