Decomposing Exchange Rate Volatility Around the Pacific Rim
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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.latrobe.edu.au/economics|
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