Interpreting Currency Movements During the Crisis : What's the Role of Interest Rate Differentials? /
Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movement...
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Zeitschrift |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| Schriftenreihe: | IMF Working Papers; Working Paper ;
No. 2011/014 |
| Online Zugang: | Full text available on IMF |