Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/86590 
Year of Publication: 
2006
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 06-086/2
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
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

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