Exchange rate dynamics, asset market structure and the role of the ...

4
3.5
3
2.5
σ T
2
1.5
1
corr(rs, c-c*)
ρ T
0.5
corr (T, A)
0
-0.5
-1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
Figure 9a Sensitivity analysis: Same analysis as in Figure 8, but assuming Christiano et al’s (2005)
estimated value for s’’(1) = 2.5.