
Modelling asymmetric exchange rate dependence
Publication
, Journal Article
Patton, AJ
Published in: International Economic Review
2006
We test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations. We consider an extension of the theory of copulas to allow for conditioning variables, and employ it to construct flexible models of the conditional dependence structure of these exchange rates. We find evidence that the mark-dollar and yen-dollar exchange rates are more correlated when they are depreciating against the dollar than when they are appreciating.
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Published In
International Economic Review
DOI
ISSN
0020-6598
Publication Date
2006
Volume
47
Issue
2
Start / End Page
527 / 556
Related Subject Headings
- Economics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 14 Economics
Citation
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MLA
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Patton, A. J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2), 527–556. https://doi.org/10.1111/j.1468-2354.2006.00387.x
Patton, A. J. “Modelling asymmetric exchange rate dependence.” International Economic Review 47, no. 2 (2006): 527–56. https://doi.org/10.1111/j.1468-2354.2006.00387.x.
Patton AJ. Modelling asymmetric exchange rate dependence. International Economic Review. 2006;47(2):527–56.
Patton, A. J. “Modelling asymmetric exchange rate dependence.” International Economic Review, vol. 47, no. 2, 2006, pp. 527–56. Scival, doi:10.1111/j.1468-2354.2006.00387.x.
Patton AJ. Modelling asymmetric exchange rate dependence. International Economic Review. 2006;47(2):527–556.

Published In
International Economic Review
DOI
ISSN
0020-6598
Publication Date
2006
Volume
47
Issue
2
Start / End Page
527 / 556
Related Subject Headings
- Economics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 14 Economics