A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates
Mardi Dungey ()
Working Papers from Australian National University - Department of Economics
This paper concentrates upon the short-term changes in the exchange rate that might be considered as 'clouding' more fundamental changes. We focus on week to week changes in nominal bilateral exchange rates. The main concern of this paper is an attempt to identify the sources of exchange rate volatility over the past decade. Specifically, the paper tries to separate international causes of volatility from those associated with a specific country.
Keywords: EXCHANGE RATE; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: F31 C33 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aunaec:320
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