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Exchange Rate Determination with Changes in the Policy Regime: The Yen/Dollar Rate

✍ Scribed by John H. Makin and Raymond D. Sauer


Book ID
125763598
Publisher
MIT Press
Year
1986
Tongue
English
Weight
248 KB
Volume
68
Category
Article
ISSN
0034-6535

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This paper examines the conditional heteroscedasticity of the yenΒ±dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the apprecia