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Exchange-rate regimes and output volatility: empirical investigation with panel data

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  • Marjan Petreski

Abstract

The study aims to explore the relationship between exchange-rate regimes and output volatility, building on the flaws of the existing, though scarce literature. It discusses the measure of output volatility; explores the endogeneity bias doubted to be present in the literature; tests non-dynamic vs. dynamic model. The empirical investigation covers the post-Bretton-Woods era (1976–2006) and includes 169 countries. It is found that sufficiently large terms-of-trade shocks will spur output volatility under fixed, limited-flexible and flexible exchange-rate regime as compared with a floating regime, but the marginal effect is estimated to be the most severe under a peg (longer than five years).

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Bibliographic Info

Article provided by Inderscience Enterprises Ltd in its journal Int. J. of Monetary Economics and Finance.

Volume (Year): 3 (2010)
Issue (Month): 1 ()
Pages: 69-99

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Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:69-99

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Web page: http://www.inderscience.com/browse/index.php?journalID=218

Related research

Keywords: exchange rate regimes; output volatility; panel data; endogeneity bias; non-dynamic models; dynamic models; Bretton Woods Agreements; terms-of-trade; floating exchange rates; fixed exchange rates; limited-flexible exchange rates; flexible exchange-rates; currency peg; monetary economics; finance.;

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Cited by:
  1. Erick Lahura & Marco Vega, 2013. "Regímenes cambiarios y desempeño macroeconómico: una evaluación de la literatura," Documentos de Trabajo 2013-361, Departamento de Economía - Pontificia Universidad Católica del Perú.
  2. Marjan Petreski, 2011. "A Markov Switch to Inflation Targeting in Emerging Market Peggers with a Focus on the Czech Republic, Poland and Hungary," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3.

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