Differences between foreign exchange rate regimes: the view from the tails
In the literature on the empirical unconditional distribution of foreign exchange rate returns there is indication that the type of distribution function is related to the form of exchange rate regime. The analysis has been hampered by the nonnestedness of alternative distribution models. The paper investigates the issue by means of extremal analysis which allows for a unified treatment. In particular, we try to sort out whether apparent distributional differences are due to differences in techniques or in regimes.
|exchange rates, exchange rates regimes, international financial markets|
|Foreign Exchange (jel F31), International Monetary Arrangements and Institutions (jel F33)|
|Journal of International Money and Finance: theoretical and empirical research in international economics and finance|
|Organisation||Erasmus School of Economics|
Koedijk, C.G, Stork, Ph.A, & de Vries, C.G. (1992). Differences between foreign exchange rate regimes: the view from the tails. Journal of International Money and Finance: theoretical and empirical research in international economics and finance, 462–473. doi:10.1016/0261-5606(92)90012-M