Modelling Fiji-US exchange rate volatility

Narayan, Paresh, Narayan, Seema and Prasad, Arti 2009, Modelling Fiji-US exchange rate volatility, Applied economics letters, vol. 16, no. 8, pp. 831-834.

Attached Files
Name Description MIMEType Size Downloads

Title Modelling Fiji-US exchange rate volatility
Author(s) Narayan, Paresh
Narayan, Seema
Prasad, Arti
Journal name Applied economics letters
Volume number 16
Issue number 8
Start page 831
End page 834
Publisher Routledge
Place of publication London, England
Publication date 2009-06
ISSN 0003-6846
1466-4283
Summary In this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.
Language eng
Field of Research 140212 Macroeconomics (incl Monetary and Fiscal Theory)
Socio Economic Objective 910108 Monetary Policy
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2009, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30022690

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 1 times in TR Web of Science
Scopus Citation Count Cited 2 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 372 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Thu, 21 Jan 2010, 15:27:29 EST by Katrina Fleming

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.