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A Better Measure of Relative Volatility

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  • Pippenger, John
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    Paper provided by Department of Economics, UC Santa Barbara in its series University of California at Santa Barbara, Economics Working Paper Series with number qt3tp6j494.

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    Date of creation: 09 Mar 2002
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    Handle: RePEc:cdl:ucsbec:qt3tp6j494

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    Keywords: Measure of Relative Volatility;

    References

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    1. Bui, Nhuong & Pippenger, John, 1990. "Commodity prices, exchange rates and their relative volatility," Journal of International Money and Finance, Elsevier, vol. 9(1), pages 3-20, March.
    2. Charles Engel & John H. Rogers, 2000. "Deviations from purchasing power parity: causes and welfare costs," International Finance Discussion Papers 666, Board of Governors of the Federal Reserve System (U.S.).
    3. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, April.
    4. Bleaney, Michael, 1992. "Comparisons of Real Exchange Rate Volatility across Exchange Rate Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(4), pages 557-65, November.
    5. Parsley, David C. & Wei, Shang-Jin, 2001. "Explaining the border effect: the role of exchange rate variability, shipping costs, and geography," Journal of International Economics, Elsevier, vol. 55(1), pages 87-105, October.
    6. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does "excessively volatile" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York.
    7. Jacob A. Frenkel & Morris Goldstein, 1988. "Exchange rate volatility and misalignment: evaluating some proposals for reform," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 185-231.
    8. Kenneth D. West, 1988. "Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation," NBER Working Papers 2574, National Bureau of Economic Research, Inc.
    9. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, April.
    10. Paul De Grauwe & Guy Verfaille, 1988. "Exchange Rate Variability, Misalignment, and the European Monetary System," NBER Chapters, in: Misalignment of Exchange Rates, pages 77-104 National Bureau of Economic Research, Inc.
    11. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
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