Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application
Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application
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汇率波动和美国货币政策：ARCH 应用
DOI：
10.2307/1992578
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发表时间：
1989
期刊：
影响因子：
--
通讯作者：
W. D. Lastrapes
中科院分区：
文献类型：
--
作者：
W. D. Lastrapes
本文研究了美国货币政策制度的转变对外汇汇率随机过程的影响。为了解释数据记录的观察到的行为，作者将名义美元汇率建模为单变量自回归条件异方差过程。然后，他测试了美国货币政策体系中这一过程的稳定性。对于样本中的四种货币，考虑政权转变可以提高模型的拟合度。制度转变似乎也减少了方差的持续程度，从而降低了汇率在方差中进行整合的可能性。版权所有 1989 俄亥俄州立大学出版社。
This paper examines the effect of shifts in U.S. monetary policy regimes on the stochastic process that generates foreign exchange rates. To account for the observed behavior of the data record, the author models nominal, dollar exchange rates as univariate autoregressive conditional heteroskedastic processes. He then tests the stability of this process across U.S. monetary policy regimes. For four of the currencies in the sample, accounting for regime shifts improves the fit of the model. Regime shifts also appear to diminish the degree of persistence of variance, making it less likely that exchange rates are integrated-in-variance. Copyright 1989 by Ohio State University Press.