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Decomposing Exchange Rate Volatility Around the Pacific Rim

  • Mardi H Dungey

    (Department of Economics and Finance, La Trobe University)

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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Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1999.12.

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Length: 15 pages
Date of creation: 1999
Handle: RePEc:ltr:wpaper:1999.12
Contact details of provider: Web page: http://www.latrobe.edu.au/economics

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  1. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  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. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
  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. Dungey, M., 1997. "A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates," Papers 320, Australian National University - Department of Economics.
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