Exchange rates dependence
Subtitle: what drives it?
By: Sigridur Benediktsdottir and Chiara Scotti.
Contributors: Scotti, Chiara.
Series: International finance discussion papers -- no. 969; International finance discussion papers (Online) -- no. 969.
Publisher: Federal Reserve Board
Published: 2009
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar.  In this paper, we study the dependence structure of a number of exchange rate pairs against the dollar.  We employ a conditional copula approach to recover the joint distributions for pairs of exchange rates and study both the correlation and the upper and lower tail dependence of these distributions.  We analyze changes in dependence measures over time, and we investigate whether these measures are affected by the business cycle or interest rate differentials.  Our results show that dependencies are indeed time-varying.  We find that foreign and U.S.  recessions affect the joint dependence structure and that currencies with higher interest rate differentials tend to move less closely together, not only on average (correlation), but also when extreme events occur (tails)"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.