Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations
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More about this item
Keywords
CDS; correlation; emerging markets; exchange rate; nonlinear causality; sovereign risk;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2024-05-06 (Confederation of Independent States)
- NEP-IFN-2024-05-06 (International Finance)
- NEP-OPM-2024-05-06 (Open Economy Macroeconomics)
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