After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Tradeoffs?
AbstractThis paper addresses the issue of whether regimes of fixed exchange rates are a mechanism for shifting volatility inter-temporally. Using a panel of data covering twenty industrialized countries from 1959 through 1993, I examine the volatilities of a host of real and monetary variables. Graphical and statistical examination of the periods around 33 flotations and 81 devaluations reveals little evidence of significant increases in volatility following these events. Copyright @ 1996 by John Wiley & Sons, Ltd. All rights reserved.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 1 (1996)
Issue (Month): 1 (January)
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
Other versions of this item:
- Rose, Andrew K, 1995. "After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?," CEPR Discussion Papers 1240, C.E.P.R. Discussion Papers.
- Andrew K. Rose, 1995. "After the Deluge: Do Fixed Exchange Rates Allow Inter-Temporal Volatility Tradeoffs?," NBER Working Papers 5219, National Bureau of Economic Research, Inc.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew K. Rose, 1994. "Are exchange rates macroeconomic phenomena?," Economic Review, Federal Reserve Bank of San Francisco, pages 19-30.
- Jeffrey A. Frankel, 1993. "On Exchange Rates," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061546, January.
- Robert P. Flood & Robert J. Hodrick, 1985.
"Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates,"
NBER Working Papers
1603, National Bureau of Economic Research, Inc.
- Flood, Robert P. & Hodrick, Robert J., 1986. "Real aspects of exchange rate regime choice with collapsing fixed rates," Journal of International Economics, Elsevier, vol. 21(3-4), pages 215-232, November.
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