Explaining the Transition between Exchange Rate Regimes
AbstractThis paper studies the transition between exchange rate regimes using a Markov chain model with time-varying transition probabilities. The probabilities are parameterized as nonlinear functions of variables suggested by the currency crisis and optimal currency area literature. Results using annual data indicate that inflation and, to a lesser extent, output growth and trade openness help explain the exchange rate regime transition dynamics. Copyright The editors of the "Scandinavian Journal of Economics", 2005 .
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal The Scandinavian Journal of Economics.
Volume (Year): 107 (2005)
Issue (Month): 2 (06)
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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442
Other versions of this item:
- MASSON, Paul & RUGE-MURCIA, Francisco J., 2003. "Explaining the Transition Between Exchange Rate Regimes," Cahiers de recherche 2003-21, Universite de Montreal, Departement de sciences economiques.
- MASSON, Paul & RUGE-MURCIA, Francisco J., 2003. "Explaining the Transition Between Exchange Rate Regimes," Cahiers de recherche 15-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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