Decomposing Exchange Rate Volatility Around the Pacific Rim
Mardi Dungey ()
No 1999.12, Working Papers from School of Economics, La Trobe University
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)
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Journal Article: Decomposing exchange rate volatility around the Pacific Rim (1999)
Working Paper: Decomposing Exchange Rate Volatility Around the Pacific Rim (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1999.12
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