Structural Breaks in Volatility: Evidence for the OECD Real Exchange Rates
AbstractThis paper analyses whether volatility changes in the bilateral and effective real exchange rates of the OECD industrial countries are associated with a specific nominal exchange rate regime. To that end, we examine the real exchange rate behaviour during the 1960-2003 period, therefore covering both the Bretton Woods system of fixed exchange rates and adoption of generalised floating exchange rates from 1973. We make use of an econometric methodology based on the Hansen (1997)'s approximation to the p-values of the supreme, exponential and average statistics developed by Andrews (1993) and Andrews and Ploberger (1994). This methodology allows us to obtain a profile of p-values and to delimit periods of stability and instability in the variance of real exchange rates. Results suggest that there is evidence in favour of the non-neutrality of nominal exchange rate regime regarding real exchange rate volatility.
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Bibliographic InfoPaper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2005/01.
Length: 23 pages
Date of creation: 2005
Date of revision:
Exchange rate regimes; real exchange rate; volatility;
Other versions of this item:
- Amalia Morales-Zumaquero & Simon Sosvilla-Rivero, . "Structural Breaks in Volatility: Evidence from the OECD Real Exchange Rates," Working Papers 2004-22, FEDEA.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-09 (All new papers)
- NEP-ETS-2005-04-09 (Econometric Time Series)
- NEP-FIN-2005-04-09 (Finance)
- NEP-IFN-2005-04-09 (International Finance)
- NEP-PBE-2005-04-09 (Public Economics)
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