Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2006-10-06
Number: 06-086/2
Author-Name: Phornchanok Cumperayot
Author-Email: phornchanok.C@Chula.ac.th
Author-Workplace-Name: Chulalongkorn University
Author-Name: Casper G. de Vries
Author-Email: cdevries@few.eur.nl
Author-Workplace-Name: Erasmus Universiteit Rotterdam
Title: Large Swings in Currencies driven by Fundamentals
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.
Classification-JEL: E44; F31
Keywords: exchange rates; fundamentals; fat-tailed distributions
File-Url: https://papers.tinbergen.nl/06086.pdf
File-Format: application/pdf
File-Size: 215146 bytes
Handle: RePEc:tin:wpaper:20060086