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Variance Bounds as Thresholds for ‘Excessive’ Currency Volatility: Inflation Targeting Emerging Economies

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Listed:
  • Shaista Amod
  • Shakill Hassan

Abstract

At what level does a currencyÂ’s volatility become ‘excessiveÂ’, in a concrete sense? Any claim that an exchange rate is excessively volatile needs a benchmark for ‘normalÂ’variability. We compute variance bounds implied by exchange rate models as the norm, for a set of particularly volatile emerging market currencies; and aÂ…nd that long-run exchange rate volatility […]

Suggested Citation

  • Shaista Amod & Shakill Hassan, 2015. "Variance Bounds as Thresholds for ‘Excessive’ Currency Volatility: Inflation Targeting Emerging Economies," Working Papers 489, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:489
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    More about this item

    Keywords

    central bank; emerging markets; Inflation targeting; Monetary Policy;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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