Modeling the exchange rate using price levels and country risk
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 Mexico. T...
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Online Access: | http://hdl.handle.net/10419/147762 https://doi.org/10.1080/23322039.2015.1056928 |
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ftzbwkiel:oai:econstor.eu:10419/147762 2023-12-03T10:24:49+01:00 Modeling the exchange rate using price levels and country risk Regõs, Gábor 2015 http://hdl.handle.net/10419/147762 https://doi.org/10.1080/23322039.2015.1056928 eng eng Abingdon: Taylor & Francis gbv-ppn:85668774X Journal: Cogent Economics & Finance ISSN: 2332-2039 Volume: 3 Year: 2015 Issue: 1 Pages: 1-10 Abingdon: Taylor & Francis doi:10.1080/23322039.2015.1056928 http://hdl.handle.net/10419/147762 http://creativecommons.org/licenses/by/4.0/ ddc:330 C15 C33 C53 F31 exchange rate multifactor model ratings classes Markov-switching model doc-type:article 2015 ftzbwkiel https://doi.org/10.1080/23322039.2015.1056928 2023-11-06T00:41:27Z 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 Mexico. To measure the sovereign risk, we use the credit rating agencies' ratings classes as proxy variable. In the empirical part, four different versions of the model are calibrated and their in-sample and out-of-sample data will be analyzed leading to the conclusion that none of the four versions dominates the others. As an additional result, it is revealed that risk has significant effect on the nominal exchange rates. Article in Journal/Newspaper Iceland EconStor (German National Library of Economics, ZBW) Cogent Economics & Finance 3 1 1056928 |
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Open Polar |
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EconStor (German National Library of Economics, ZBW) |
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ftzbwkiel |
language |
English |
topic |
ddc:330 C15 C33 C53 F31 exchange rate multifactor model ratings classes Markov-switching model |
spellingShingle |
ddc:330 C15 C33 C53 F31 exchange rate multifactor model ratings classes Markov-switching model Regõs, Gábor Modeling the exchange rate using price levels and country risk |
topic_facet |
ddc:330 C15 C33 C53 F31 exchange rate multifactor model ratings classes Markov-switching model |
description |
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 Mexico. To measure the sovereign risk, we use the credit rating agencies' ratings classes as proxy variable. In the empirical part, four different versions of the model are calibrated and their in-sample and out-of-sample data will be analyzed leading to the conclusion that none of the four versions dominates the others. As an additional result, it is revealed that risk has significant effect on the nominal exchange rates. |
format |
Article in Journal/Newspaper |
author |
Regõs, Gábor |
author_facet |
Regõs, Gábor |
author_sort |
Regõs, Gábor |
title |
Modeling the exchange rate using price levels and country risk |
title_short |
Modeling the exchange rate using price levels and country risk |
title_full |
Modeling the exchange rate using price levels and country risk |
title_fullStr |
Modeling the exchange rate using price levels and country risk |
title_full_unstemmed |
Modeling the exchange rate using price levels and country risk |
title_sort |
modeling the exchange rate using price levels and country risk |
publisher |
Abingdon: Taylor & Francis |
publishDate |
2015 |
url |
http://hdl.handle.net/10419/147762 https://doi.org/10.1080/23322039.2015.1056928 |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
gbv-ppn:85668774X Journal: Cogent Economics & Finance ISSN: 2332-2039 Volume: 3 Year: 2015 Issue: 1 Pages: 1-10 Abingdon: Taylor & Francis doi:10.1080/23322039.2015.1056928 http://hdl.handle.net/10419/147762 |
op_rights |
http://creativecommons.org/licenses/by/4.0/ |
op_doi |
https://doi.org/10.1080/23322039.2015.1056928 |
container_title |
Cogent Economics & Finance |
container_volume |
3 |
container_issue |
1 |
container_start_page |
1056928 |
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1784273372250636288 |