Exchange rate volatility and U.S. monetary policy: an ARCH application. (autoregressive conditional heteroskedastic): An article from: Journal of Money, Credit & Banking
Book Details
Author(s)William D. Lastrapes
PublisherOhio State University Press
ISBN / ASINB0008SCN9A
ISBN-13978B0008SCN91
AvailabilityAvailable for download now
Sales Rank99,999,999
MarketplaceUnited States 🇺🇸
Description
This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on February 1, 1989. The length of the article is 4377 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the supplier: This paper examines the effect of shifts in U.S. monetary policy regimes on the stochastic process that generates foreign exchange rates. To account for the observed behavior of the data record, we model nominal, dollar exchange rates as univariate Autoregressive Conditional Heteroskedastic (ARCH) processes. We then test the stability of this process across U.S. monetary policy regimes. For four of the currencies in the sample, accounting for regime shifts improves the fit of the ARCH model. Regime shifts also appear to diminish the degree of persistence of variance, making it less likely that exchange rates are integrated-in-variance. (Printed by permission of the publisher.)
Citation Details
Title: Exchange rate volatility and U.S. monetary policy: an ARCH application. (autoregressive conditional heteroskedastic)
Author: William D. Lastrapes
Publication:Journal of Money, Credit & Banking (Refereed)
Date: February 1, 1989
Publisher: Ohio State University Press
Volume: v21 Issue: n1 Page: p66(12)
Distributed by Thomson Gale
From the supplier: This paper examines the effect of shifts in U.S. monetary policy regimes on the stochastic process that generates foreign exchange rates. To account for the observed behavior of the data record, we model nominal, dollar exchange rates as univariate Autoregressive Conditional Heteroskedastic (ARCH) processes. We then test the stability of this process across U.S. monetary policy regimes. For four of the currencies in the sample, accounting for regime shifts improves the fit of the ARCH model. Regime shifts also appear to diminish the degree of persistence of variance, making it less likely that exchange rates are integrated-in-variance. (Printed by permission of the publisher.)
Citation Details
Title: Exchange rate volatility and U.S. monetary policy: an ARCH application. (autoregressive conditional heteroskedastic)
Author: William D. Lastrapes
Publication:Journal of Money, Credit & Banking (Refereed)
Date: February 1, 1989
Publisher: Ohio State University Press
Volume: v21 Issue: n1 Page: p66(12)
Distributed by Thomson Gale
