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 EDIRC Provider-Institution: RePEc:edi:smlatau (search for similar items in EconPapers)
Pages: 15 pages
Date: 1999
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