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evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …
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– the BOI’s USD purchases have widened the negative deviation from covered interest parity. The higher moments of the risk … unaffected. The USD purchases simply shift the whole distribution towards higher USD/ILS values. Crash risk, for instance, is …
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In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
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volatility, especially in the past decade. Nevertheless, dollarised countries benefit from higher levels of investment and trade …
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