Differences between foreign exchange rate regimes: The view from the tails

Kees G. Koedijk*, Philip A. Stork, Casper G. de Vries

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

In the literature on the empirical unconditional distribution of foreign exchange rate returns there is indication that the type of distribution function is related to the form of exchange rate regime. The analysis has been hampered by the nonnestedness of 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 in regimes. (JEL F31, F33).

Original languageEnglish
Pages (from-to)462-473
Number of pages12
JournalJournal of International Money and Finance
Volume11
Issue number5
DOIs
Publication statusPublished - Oct 1992

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