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Increasing exchange rate volatility during the recent float

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Author Info
Michael Frömmel
Lukas Menkhoff

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Abstract

The paper examines empirically whether the volatility of major floating exchange rates shows any systematic change during the period from 1973 to 1998. Four measures for unconditional and conditional volatility demonstrate increasing volatility for most currencies and for two worldwide baskets of exchange rates. Structural breaks are identified for several exchange rates, implying that the volatility increase is in some cases due to upward shifts and not due to continuous changes. This may indicate that in addition to permanent microstructural impacts, macroeconomically-caused shifts are possibly also important for the volatility increase.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 13 (2003)
Issue (Month): 12 (December)
Pages: 857-863
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Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:857-863

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References listed on IDEAS
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  16. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-18, March.
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Full references

Cited by:
(explanations, 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.)

  1. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  2. Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-333, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Other versions:
  3. Chit, Myint Moe & Rizov, Marian & Willenbockel, Dirk, 2008. "Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies," MPRA Paper 9014, University Library of Munich, Germany. [Downloadable!]
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