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Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model

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Bollerslev, Tim

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Abstract

A multivariate time series model with time varying conditional variances and covariances, but constant conditional correlations is proposed. In a multivariate regression framework, the model is readily interpreted as an extension of the Seemingly Unrelated Regression (SUR) model allowing for heteroskedasticity. Parameterizing each of the conditional variances as a univariate Generalized Autoregressive Conditional Heteroskedastic (GARCH) process, the descriptive validity of the model is illustrated for a set of five nominal European U.S. dollar exchange rates following the inception of the European Monetary System (EMS). When compared to the pre- EMS free float period, the comovements between the currenciess are found to be significantly higher over the later period. Copyright 1990 by MIT Press.

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Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 72 (1990)
Issue (Month): 3 (August)
Pages: 498-505
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Handle: RePEc:tpr:restat:v:72:y:1990:i:3:p:498-505

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