Dislocations in the won-dollar swap markets during the crisis of 2007-09
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More about this item
KeywordsFX swap; cross-currency swap; regime switching; EGARCH model; foreign reserves;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
- NEP-IFN-2011-05-07 (International Finance)
- NEP-MON-2011-05-07 (Monetary Economics)
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