After the Deluge: Do Fixed Exchange Rates Allow Inter-Temporal Volatility Tradeoffs?
AbstractThis paper addresses the issue of whether regimes of fixed exchange rates are a mechanism for shifting volatility inter- temporally. Using a panel of data covering twenty industrialized countries from 1959 through 1993, I examine the volatilities of a host of real and monetary variables. Graphical and statistical examination of the periods around 33 flotations and 81 devaluations reveals little evidence of significant increases in volatility following these events.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5219.
Date of creation: Aug 1995
Date of revision:
Publication status: published as International Journal of Finance and Economics, 1995
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Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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Other versions of this item:
- Rose, Andrew K, 1996. "After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Tradeoffs?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(1), pages 47-54, January.
- Rose, Andrew K, 1995. "After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?," CEPR Discussion Papers 1240, C.E.P.R. Discussion Papers.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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- Andrew K. Rose, 1994. "Are exchange rates macroeconomic phenomena?," Economic Review, Federal Reserve Bank of San Francisco, pages 19-30.
- Flood, Robert P. & Garber, Peter M., 1984. "Collapsing exchange-rate regimes : Some linear examples," Journal of International Economics, Elsevier, vol. 17(1-2), pages 1-13, August.
- Robert P. Flood & Robert J. Hodrick, 1985.
"Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates,"
NBER Working Papers
1603, National Bureau of Economic Research, Inc.
- Flood, Robert P. & Hodrick, Robert J., 1986. "Real aspects of exchange rate regime choice with collapsing fixed rates," Journal of International Economics, Elsevier, vol. 21(3-4), pages 215-232, November.
- Jeffrey A. Frankel, 1993. "On Exchange Rates," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061546, December.
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