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January 30, 2010 | History

Exchange rates dependence 1 edition

Exchange rates dependence
Sigridur Benediktsdottir

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Exchange rates dependence
what drives it?
Sigridur Benediktsdottir and Chiara Scotti.

Published 2009 by Federal Reserve Board in Washington, D.C .
Written in English.

About the Book

"Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar. In this paper, we study the dependence structure of a number of exchange rate pairs against the dollar. We employ a conditional copula approach to recover the joint distributions for pairs of exchange rates and study both the correlation and the upper and lower tail dependence of these distributions. We analyze changes in dependence measures over time, and we investigate whether these measures are affected by the business cycle or interest rate differentials. Our results show that dependencies are indeed time-varying. We find that foreign and U.S. recessions affect the joint dependence structure and that currencies with higher interest rate differentials tend to move less closely together, not only on average (correlation), but also when extreme events occur (tails)"--Federal Reserve Board web site.

Edition Notes

Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
International finance discussion papers -- no. 969, International finance discussion papers (Online) -- no. 969.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL23557784M
LC Control Number
2009656139

History

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January 30, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page