Real effective exchange rate volatility is examined for 90 countries using monthly data from January 1990 to June 2006. Volatility decreases with openness to international trade and per capita GDP, and increases with inflation, particularly under a horizontal peg or band, and with terms-of-trade volatility. The choice of exchange rate regime matters. After controlling for these effects, a free float adds at least 45 % to the standard deviation of the real effective exchange rate, relative to a conventional peg, but most other regimes make little difference. The results are robust to alternative volatility measures and to sample selection bias.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Nottingham, School of Economics in its series Discussion Papers with number
08/09.