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The duration of fixed exchange rate regimes

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  • Sébastien Wälti

Abstract

This paper studies the survival of fixed exchange rate regimes. The probability of an exit from a fixed exchange rate regime depends on the time spent within this regime. In such a context durations models are appropriate, in particular because of the possible non-monotonic pattern of duration dependence. Non-parametric estimates show that the pattern of duration dependence exhibits non-monotonic behaviour and that it differs across types of economies. This behaviour persists when we control for time-varying covariates in a proportional hazard specification. We conclude that how long a regime has lasted will affect the probability that it will end, in a non-monotonic fashion.

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Bibliographic Info

Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp96.

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Date of creation: 15 Dec 2005
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Handle: RePEc:iis:dispap:iiisdp96

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Keywords: Exchange rate regime; currency crisis; regime transition; duration models; survival analysis.;

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Cited by:
  1. Nikolaus Wolf, 2008. "Scylla and Charybdis. Explaining Europe’s Exit from Gold, January 1928 – December 1936," CESifo Working Paper Series 2271, CESifo Group Munich.
  2. Yang Ni & Shasha Guo & David E. Giles, 2009. "Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China," Econometrics Working Papers 0905, Department of Economics, University of Victoria.
  3. Buncic, Daniel & Melecky, Martin, 2012. "Macroprudential stress testing of credit risk : a practical approach for policy makers," Policy Research Working Paper Series 5936, The World Bank.
  4. Carmignani, Fabrizio & Colombo, Emilio & Tirelli, Patrizio, 2008. "Exploring different views of exchange rate regime choice," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1177-1197, November.

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