The economic role of jumps in EUR/USD and USD/JPY exchange rates
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Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | |
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Main Library - Special Collections | HB1.A666 APP (Browse shelf(Opens below)) | Vol.20 , No. 13 - 15 (Oct 2013) | Not for loan | For In House Use Only |
This study investigates the economic role of jumps in foreign currency market. We fit exchange rates by the stochastic volatility with correlated jumps (SVCJ) model, and use Markov Chain Monte Carlo (MCMC) approach to estimate the model and identify jumps in exchange rates. Our empirical analysis of EUR/USD and USD/JPY exchange rates suggest that SVCJ model is a good characterization for exchange rates. We find that the jumps in the currency markets are closely connected with significant economic and political events.
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