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Real Exchange Rate Variability: An Empirical Analysis of the DevelopingCountries Case

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Sebastian Edwards

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Abstract

The purpose of this paper is to investigate the potential role of monetary and real factors in explaining real exchange rate variability in developing countries. For this purpose two indexes of real effective exchange rate variability that measure short-term and long-term variability were constructed for 30 countries. The results obtained, using a generalized least squares procedures on cross section data, indicate that real exchange rate variability has been affected both by real and monetary factors. In particular it was found that more unstable nominal exchange rate policies were reflected in higher real exchange rate instability in the short-run; more unstable domestic credit policies resulted in higher short-term real exchange rate variability; and more unstable external terms of trade also affected positively the degree of real exchange rate instability.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1930.

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Date of creation: Jan 1988
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Handle: RePEc:nbr:nberwo:1930

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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. Aizenman, Joshua, 1984. "Modeling Deviations from Purchasing Power Parity (PPP)," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 175-91, February. [Downloadable!] (restricted)
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  2. Yuravlivker, David E., 1982. "Crawling peg and the variability of the real exchange rate," Economics Letters, Elsevier, vol. 9(2), pages 185-190. [Downloadable!] (restricted)
  3. Stockman, Alan C. & Stockman, Alan C., 1983. "Real exchange rates under alternative nominal exchange-rate systems," Journal of International Money and Finance, Elsevier, vol. 2(2), pages 147-166, August. [Downloadable!] (restricted)
  4. Krueger, Anne O., 1984. "Trade policies in developing countries," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 1, chapter 11, pages 519-569 Elsevier. [Downloadable!] (restricted)
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  1. Andreas Savvides, 1992. "Unanticipated exchange rate variability and the growth of international trade," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(3), pages 446-463, September. [Downloadable!] (restricted)
  2. Tony Caporale & Khosrow Doroodian, 1995. "Exchange rate regimes and uncertainty," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 131(3), pages 569-576, September. [Downloadable!] (restricted)
  3. Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Afonso S. Bevilaqua, 1997. "Macroeconomic coordination and commercial integration in MERCOSUR," Textos para discussão 378, Department of Economics PUC-Rio (Brazil). [Downloadable!]
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