Explaining the Transition Between Exchange Rate Regimes
AbstractThis paper studies the transition between exchange rate regimes using a Markov chain model with time-varying transition probabilities. The probabilities are parameterized as nonlinear functions of variables suggested by the currency crisis and optimal currency area literature. Results using annual data indicate that inflation, and to a lesser extent, output growth and trade openness help explain the exchange rate regime transition dynamics.
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Bibliographic InfoPaper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 2003-21.
Length: 27 pages
Date of creation: 2003
Date of revision:
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Exchange rates; hollowing out hythesis; regime change; Markov chains; gs; floating;
Other versions of this item:
- Paul Masson & Francisco J. Ruge-Murcia, 2005. "Explaining the Transition between Exchange Rate Regimes," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 261-278, 06.
- MASSON, Paul & RUGE-MURCIA, Francisco J., 2003. "Explaining the Transition Between Exchange Rate Regimes," Cahiers de recherche 15-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-07 (All new papers)
- NEP-CBA-2003-12-07 (Central Banking)
- NEP-IFN-2003-12-07 (International Finance)
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