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Modeling the exchange rate using price levels and country risk

Regõs, Gábor - In: Cogent economics & finance 3 (2015) 1, pp. 1-10

This paper builds two factor discrete time models in order to investigate the effect of sovereign risk on the nominal exchange rates in a Markov switching framework. The empirical section of the paper uses seven currencies from Chile, the Czech Republic, Hungary, Iceland, Japan, Korea, and...

Persistent link: https://www.econbiz.de/10011449716