Large Swings in Currencies driven by Fundamentals
Phornchanok Cumperayot () and
Casper de Vries
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Phornchanok Cumperayot: Chulalongkorn University
No 06-086/2, Tinbergen Institute Discussion Papers from Tinbergen Institute
Abstract:
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and through investigating the tail shapes of the fundamentals' distributions. The currently available data sets on floating exchange rates permit a clearer picture than the relatively short spans with macroeconomic data available previously.
Keywords: exchange rates; fundamentals; fat-tailed distributions (search for similar items in EconPapers)
JEL-codes: E44 F31 (search for similar items in EconPapers)
Date: 2006-10-06
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Citations: View citations in EconPapers (2)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20060086
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