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Are Exchange Rates Excessively Volatile? And What Does "Excessively Volatile" Mean, Anyway?

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Author Info
Leonardo Bartolini
Gordon M. Bodnar

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Abstract

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 95/85.

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Date of creation: 01 Aug 1995
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Handle: RePEc:imf:imfwpa:95/85

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Related research
Keywords: Exchange rates ; Flexible exchange rates ; Economic models ;

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References listed on IDEAS
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. Craig S. Hakkio, 1992. "Is purchasing power parity a useful guide to the dollar?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 37-51. [Downloadable!]
  2. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Fair, Ray C, 1987. "International Evidence on the Demand for Money," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 473-80, August. [Downloadable!] (restricted)
    Other versions:
  4. Eichengreen, Barry & Tobin, James & Wyplosz, Charles, 1995. "Two Cases for Sand in the Wheels of International Finance," Economic Journal, Royal Economic Society, vol. 105(428), pages 162-72, January. [Downloadable!] (restricted)
    Other versions:
  5. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October. [Downloadable!] (restricted)
  6. N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Bias in Tests of Rational Expectations," Cowles Foundation Discussion Papers 743, Cowles Foundation, Yale University. [Downloadable!]
  7. Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, vol. 76(3), pages 483-98, June. [Downloadable!] (restricted)
    Other versions:
  8. Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1985. " An Unbiased Reexamination of Stock Market Volatility," Journal of Finance, American Finance Association, vol. 40(3), pages 677-87, July. [Downloadable!] (restricted)
    Other versions:
  9. Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 455-77, May. [Downloadable!] (restricted)
    Other versions:
  10. Vander Kraats, R.H. & Booth, L.D., 1983. "Empirical tests of the monetary approach to exchange-rate determination," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 255-278, December. [Downloadable!] (restricted)
  11. Tamim Bayoumi & Peter B. Clark & Donald J. Mathieson & Michael Mussa & Morris Goldstein, 1995. "Improving the International Monetary System: Constraints and Possibilities," IMF Occasional Papers 116, International Monetary Fund.
  12. Jeffrey A. Frankel and Richard Meese., 1987. "Are Exchange Rates Excessively Variable," Economics Working Papers 8738, University of California at Berkeley.
    Other versions:
  13. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June. [Downloadable!] (restricted)
    Other versions:
  14. Huang, Roger D, 1981. "The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility," Journal of Finance, American Finance Association, vol. 36(1), pages 31-41, March. [Downloadable!] (restricted)
  15. Levich, Richard M., 1985. "Empirical studies of exchange rates: Price behavior, rate determination and market efficiency," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 19, pages 979-1040 Elsevier. [Downloadable!] (restricted)
  16. Lothian, James R. & Taylor, Mark P., 1997. "Real exchange rate behavior," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 945-954, December. [Downloadable!] (restricted)
  17. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June. [Downloadable!] (restricted)
    Other versions:
  18. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November. [Downloadable!] (restricted)
  19. Robert P. Flood & Donald J. Mathieson & Andrew K. Rose, 1991. "An Empirical Exploration of Exchange Rate Target-Zones," IMF Working Papers 91/15, International Monetary Fund.
    Other versions:
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. Heinemann, Friedrich, 1998. "Die Theorie der optimalen Währungsräume und die politische Reformfähigkeit : ein vernachlässigtes Kriterium," ZEW Discussion Papers 98-02, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  2. Victoria Saporta & Kamhon Kan, . "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England. [Downloadable!]
  3. Fayolle, J. & Micolet, P-E., 1998. "Cycles internationaux et européens: éléments pour une problématique appliquée," Documents de Travail de l'OFCE 1998-01, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
  4. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Ketil Hviding & M. Nowak & Luca Antonio Ricci, 2004. "Can Higher Reserves Help Reduce Exchange Rate Volatility?," IMF Working Papers 04/189, International Monetary Fund. [Downloadable!]
  6. Jocelyn Horne, 2001. "Myths and Misconceptions of Exchange Rates," Research Papers 0105, Macquarie University, Department of Economics. [Downloadable!]
  7. Jerome Creel & Henri Sterdyniak, 1998. "Discussing Euro Volatility," Documents de Travail de l'OFCE 1998-03, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
  8. George Furstenberg, 1998. "From Worldwide Capital Mobility to International Financial Integration: A Review Essay," Open Economies Review, Springer, vol. 9(1), pages 53-84, January. [Downloadable!] (restricted)
  9. Vincent Brousseau & Fabio Scacciavillani, 1999. "A global hazard index for the world foreign exchange markets," Working Paper Series 1, European Central Bank. [Downloadable!]
  10. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand. [Downloadable!]
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