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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 06-086/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
exchange rates
fundamentals
fat-tailed distributions
JEL: 
E44
F31
Dokumentart: 
Working Paper
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