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, doi: 10.1080/13504850701222004.

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Title Modelling Fiji-US exchange rate volatility
Author(s) Narayan, PareshORCID iD for 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
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
DOI 10.1080/13504850701222004
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
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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