The Stylized Facts of Exchange Rates - Julio, Juan
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In this book, we set out to explore the stylized facts of the exchange rates in five LATAM countries and to interpret those to the light of more recent literature. A second set of not commonly explored facts was also studied. The dataset under analysis comprises daily exchange rates measures, various macro-financial indicators such as policy rates and risk measurements, as well quarterly GDP gap measures for a period of a time when these countries pursued some form of inflation targeting with differing degrees of discretionary FOREX market intervention. The countries include in this analysis…mehr

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Produktbeschreibung
In this book, we set out to explore the stylized facts of the exchange rates in five LATAM countries and to interpret those to the light of more recent literature. A second set of not commonly explored facts was also studied. The dataset under analysis comprises daily exchange rates measures, various macro-financial indicators such as policy rates and risk measurements, as well quarterly GDP gap measures for a period of a time when these countries pursued some form of inflation targeting with differing degrees of discretionary FOREX market intervention. The countries include in this analysis are sufficiently similar to ensure that commonly stylized facts arise, and different enough to guarantee both, the robustness of our results and idiosyncratic facts to emerge.
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Autorenporträt
Juan Manuel Julio hat einen MSc in Statistik von der University of Chicago und ist derzeit Senior Researcher in der Forschungsabteilung der Banco de la Republica, der kolumbianischen Zentralbank, wo er seit 1988 arbeitet. Außerdem ist er in Teilzeit außerordentlicher Professor an der Fakultät für Statistik der Universidad Nacional de Colombia.