Exchange-rate regimes and output volatility: empirical investigation with panel data
AbstractThe 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 InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Monetary Economics and Finance.
Volume (Year): 3 (2010)
Issue (Month): 1 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID=218
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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- 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.
- Lahura, Erick & Vega, Marco, 2013. "Regímenes cambiarios y desempeño macroeconómico: Una evaluación de la literatura," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 101-119.
- Lahura, Erick & Vega, Marco, 2013. "Regímenes Cambiarios y Desempeño Macroeconómico: Una Evaluación de la Literatura," Working Papers 2013-006, Banco Central de Reserva del Perú.
- 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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