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Comparisons of Real Exchange Rate Volatility across Exchange Rate Systems

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  • Bleaney, Michael

Abstract

Published comparisons of real exchange rate volatility have concentrated on the dispersion of monthly or quarterly movements. If volatility is to be a measure of the potential for misalignment, account must also be taken of the persistence of such movements. A simple measure of long-run volatility that captures persistence effects is used to compare the real exchange rate volatility of bilateral rates against the Deutschmark within and outside the European Monetary System. Volatility is much greater outside the European Monetary System on short-run measures but the difference is less marked in longer-run measures, particularly for European countries. Copyright 1992 by Blackwell Publishing Ltd

Suggested Citation

  • Bleaney, Michael, 1992. "Comparisons of Real Exchange Rate Volatility across Exchange Rate Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(4), pages 557-565, November.
  • Handle: RePEc:bla:obuest:v:54:y:1992:i:4:p:557-65
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    Cited by:

    1. Mohsen Bahmani-Oskooee & Masoomeh Hajilee, 2013. "Impact of exchange-rate variability on commodity trade between U.S. and Germany," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(2), pages 287-324, May.
    2. M Bahmani-Oskooee & H Harvey & S.W. Hegerty, 2015. "Exchange-Rate Volatility and Commodity Trade: The Case of the US and Italy," Economic Issues Journal Articles, Economic Issues, vol. 20(2), pages 1-27, September.
    3. G De Vita & A Abbott, 2004. "Real Exchange Rate Volatility and US Exports: An ARDL Bounds Testing Approach," Economic Issues Journal Articles, Economic Issues, vol. 9(1), pages 69-78, March.
    4. Pippenger, John, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series qt60z886n7, Department of Economics, UC Santa Barbara.
    5. Agathe Cote, "undated". "Exchange Rate Volatility and Trade: A Survey," Staff Working Papers 94-5, Bank of Canada.
    6. Agathe Cote, 1994. "Exchange Rate Volatility and Trade," International Trade 9406001, EconWPA, revised 28 Jun 1994.
    7. Pippenger, John, 2002. "A Better Measure of Relative Volatility," University of California at Santa Barbara, Economics Working Paper Series qt3tp6j494, Department of Economics, UC Santa Barbara.

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