چگونه نرخ ارز حرکت مشترک می کند؟ بررسی ارزهای پنج کشور با هدفگذاری تورمی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|47883||2011||12 صفحه PDF||سفارش دهید||9834 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 35, Issue 2, February 2011, Pages 418–429
This paper does three things. First, it explores the type of asymmetry in exchange rate correlation for five inflation-targeting countries. We show their currencies co-move more closely with the currencies of some influential foreign countries during joint appreciations than joint depreciations against a world currency. Second, it establishes empirically the linkage between interest rate differentials and exchange rate correlation. We find evidence that both widening and narrowing interest rate differentials will reduce the correlation. Third, it proposes a new version of the asymmetric dynamic conditional correlation model. The model proves to be capable of providing great insight into the two issues investigated.