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Modeling exchange rate volatility

Lookup NU author(s): Basher Balg, Dr Hugh Metcalf

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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. © 2010 Blackwell Publishing Ltd.


Publication metadata

Author(s): Balg B, Metcalf H

Publication type: Article

Publication status: Published

Journal: Review of International Economics

Year: 2010

Volume: 18

Issue: 1

Pages: 109-120

Print publication date: 15/01/2010

ISSN (print): 0965-7576

ISSN (electronic): 1467-9396

Publisher: Wiley-Blackwell Publishing Ltd.

URL: http://dx.doi.org/10.1111/j.1467-9396.2009.00872.x

DOI: 10.1111/j.1467-9396.2009.00872.x


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