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Explaining the Transition Between Exchange Rate Regimes

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Author Info
MASSON, Paul
RUGE-MURCIA, Francisco J.

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Abstract

This 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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Publisher Info
Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 15-2003.

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Length: 27 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:mtl:montec:15-2003

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Related research
Keywords: Exchange rates; hollowing out hypothesis; regime change; Markov chains; pegs; floating;

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Find related papers by JEL classification:
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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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. Michael Kremer & Alexei Onatski & James Stock, 2001. "Searching for Prosperity," NBER Working Papers 8250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Burnside, A Craig & Eichenbaum, Martin & Rebelo, Sérgio, 1998. "Prospective Deficits and the Asian Currency Crises," CEPR Discussion Papers 2015, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear Of Floating," The Quarterly Journal of Economics, MIT Press, vol. 117(2), pages 379-408, May. [Downloadable!] (restricted)
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  4. Barry Eichengreen., 1993. "International Monetary Arrangements for the 21st Century," Center for International and Development Economics Research (CIDER) Working Papers C93-021, University of California at Berkeley.
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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. Monzur Hossain, 2008. "Currency Regime Choice: A Survey of Empirical Literature," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-11, American International University-Bangladesh, Office of Research and Publications (ORP), revised Apr 2008. [Downloadable!]
  2. Ahmet Atil Asici, 2007. "Parametric and Non-parametric Approaches to Exits from Fixed Exchange Rate Regimes," HEI Working Papers 14-2007, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
  3. Asici, Ahmet Atil & Ivanova, Nadezhda & Wyplosz, Charles, 2005. "How to Exit from Fixed Exchange Rate Regimes," CEPR Discussion Papers 5141, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  4. Agnes Benassy-Quere & Benoit Cœure, 2002. "The Survival of Intermediate Exchange Rate Regimes," Working Papers 2002-07, CEPII research center. [Downloadable!]
    Other versions:
  5. Jan Filácek & Roman Horváth & Michal Skorepa, 2006. "Monetary Policy before Euro Adoption: Challenges for EU New Members," William Davidson Institute Working Papers Series wp853, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    Other versions:
  6. Juraj Antal & Jan Filáček & Jan Frait & Roman Horvath & Viktor Kotlán & Michal Skořepa, 2009. "Monetary Policy Strategies before Euro Adoption: The Art of Chasing Many Rabbits," AUCO Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 3(2), pages 176-198, July. [Downloadable!]
  7. Sébastien Wälti, 2005. "The duration of fixed exchange rate regimes," The Institute for International Integration Studies Discussion Paper Series iiisdp96, IIIS. [Downloadable!]
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  8. Demosthenes N. Tambakis, 2007. "Fear of Floating and Social Welfare," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 183-204, September. [Downloadable!]
    Other versions:
  9. Michael W. Klein & Jay C. Shambaugh, 2006. "The Nature of Exchange Rate Regimes," NBER Working Papers 12729, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. repec:tcd:wpaper:tep8 is not listed on IDEAS
  11. Sean Barrett, 2005. "Risk Equalisation and Competition in the Irish Health Insurance Market," Trinity Economics Papers 200058, Trinity College Dublin, Department of Economics. [Downloadable!]
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