On the macroeconomic causes of exchange rate volatility

International Journal of Forecasting

Volumn 25, Issue 2, 2009, Pages 328-350

  Morana, Claudio ^a,b,c  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b International Centre for Economic Research   (Italy)

^c Center for Research on Pensions and Welfare Policies (CeRP)   (Italy)

Author keywords

Cobreaking; Exchange rate volatility; Fractional cointegration; Fractionally integrated factor vector autoregressive model; G 7 area; Long memory; Macroeconomic volatility; Structural change

Indexed keywords

EID: 61849147385     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.01.013     Document Type: Article

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