Decomposing Exchange Rate Volatility Around the Pacific Rim

Mardi Dungey ()

No 1999.12, Working Papers from School of Economics, La Trobe University

Abstract: 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.

Keywords: Exchange Rate; Volatility; Economics (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Decomposing exchange rate volatility around the Pacific Rim (1999)
Working Paper: Decomposing Exchange Rate Volatility Around the Pacific Rim (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:trb:wpaper:1999.12

Access Statistics for this paper

More papers in Working Papers from School of Economics, La Trobe University
Contact information at EDIRC.
Series data maintained by Stephen Scoglio ().