Differences between Foreign Exchange Rate Regimes: The View from the Tails

Posted: 26 Feb 2008

See all articles by Kees C. G. Koedijk

Kees C. G. Koedijk

Tilburg University - Department of Finance

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Casper G. de Vries

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute; CESifo (Center for Economic Studies and Ifo Institute)

Abstract

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

Koedijk, Kees G. and Stork, Philip A. and De Vries, Casper, Differences between Foreign Exchange Rate Regimes: The View from the Tails. Journal of International Money and Finance, Vol. 11, No. 5, 1992, Available at SSRN: https://ssrn.com/abstract=1097749

Kees G. Koedijk

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 4663048 (Phone)
+31 13 4662052 (Fax)

Philip A. Stork (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Casper De Vries

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)

Tinbergen Institute

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

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