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A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates

Author

Listed:
  • Dungey, M.

Abstract

This paper concentrates upon the short-term changes in the exchange rate that might be considered as 'clouding' more fundamental changes. We focus on week to week changes in nominal bilateral exchange rates. The main concern of this paper is an attempt to identify the sources of exchange rate volatility over the past decade. Specifically, the paper tries to separate international causes of volatility from those associated with a specific country.

Suggested Citation

  • Dungey, M., 1997. "A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates," Papers 320, Australian National University - Department of Economics.
    • Handle: RePEc:fth:aunaec:320
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    Cited by:

    1. Dungey, M. H., 1999. "Decomposing exchange rate volatility around the Pacific Rim," Journal of Asian Economics, Elsevier, vol. 10(4), pages 525-535.
    2. Dungey, Mardi, 2004. "Identifying terms of trade effects in real exchange rate movements: evidence from Asia," Journal of Asian Economics, Elsevier, vol. 15(2), pages 217-235, April.

    More about this item

    Keywords

    EXCHANGE RATE; FINANCIAL MARKET;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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