Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86590
Authors: 
Cumperayot, Phornchanok
de Vries, Casper G.
Year of Publication: 
2006
Series/Report no.: 
Tinbergen Institute Discussion Paper 06-086/2
Abstract: 
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and through investigating the tail shapes of the fundamentals' distributions. The currently available data sets on floating exchange rates permit a clearer picture than the relatively short spans with macroeconomic data available previously.
Subjects: 
exchange rates
fundamentals
fat-tailed distributions
JEL: 
E44
F31
Document Type: 
Working Paper

Files in This Item:
File
Size
210.1 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.