Modeling Exchange Rate Volatility

Basher A. Balg and Hugh Metcalf

Review of International Economics, 2010, vol. 18, issue 1, 109-120

Abstract: This paper investigates the impact of the volatility of the underlying macroeconomic fundamentals on exchange rate volatility utilizing the bounds testing approach to cointegration. The results show that, in the long run the volatility of the money supply is the sole determinant, whereas in the short run overshooting is found.

Date: 2010
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https://doi.org/10.1111/j.1467-9396.2009.00872.x

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