Differences between Foreign Exchange Rate Regimes: The View from the Tails
Posted: 26 Feb 2008
In the literature on the empirical unconditional distribution of forein exchange rate returns there is indication that the type of distribution function is related to the form of the exchange rate regime. The analysis has been hampered by the nonnestedness of the alternative distribution models. The paper investigates the issue by means of extremal analysis which allows for a unified treatment. In particular, we try to sort out whether apparent distributional differences are due to differences in techniques or regimes.
Keywords: exchnage rate regime, tails, distribution
JEL Classification: F31, F33
Suggested Citation: Suggested Citation