Carry funding and safe haven currencies: A threshold regression approach
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- Hossfeld, Oliver & MacDonald, Ronald, 2015. "Carry funding and safe haven currencies: A threshold regression approach," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 185-202.
- Oliver Hossfeld & Ronald MacDonald, 2014. "Carry Funding and Safe Haven Currencies: A Threshold Regression Approach," CESifo Working Paper Series 5117, CESifo.
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More about this item
Keywords
Nonlinear Regression; Threshold Model; Safe Haven; Carry Trade;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2014-12-24 (Central Banking)
- NEP-EEC-2014-12-24 (European Economics)
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