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Sources of real exchange rate volatility and international financial integration : a dynamic GMM panel approach

Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2011

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...