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- W2222284508 abstract "The paper is an investigation concerning whether the deviations of currencies from their fundamental values affects the relationship between economic fundamentals and exchange rates. To this end, a version of the sticky price monetary exchange rate model, which connects the exchange rates to economic fundamentals, is employed. And that model is extended by adding a two state time varying transition probability Markov regime switching process in which transition between regimes is linked to the rate of risk-adjusted excess returns in the currencies. This permits analysis of the transitional dynamics of exchange rates. Quarterly data of the most active four floating currencies are used in the model. These currencies are the Australian dollar, the Canadian dollar, the Japanese yen, and the British pound. The results provide evidence that the Sharpe ratios of debt and equity investments in the currencies influence the evolution of transitional dynamics of the exchange rates’ deviation from their fundamental values. As an extension of this result, it was found that the relationship between economic fundamentals and the nominal exchange rates are subject to change depending on the overvaluation or undervaluation of the currencies relative to their fundamental value." @default.
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- W2222284508 date "2014-03-01" @default.
- W2222284508 modified "2023-09-27" @default.
- W2222284508 title "Bond Markets, Stock Markets and Exchange Rates: A Dynamic Relationship" @default.
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