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Explaining exchange rate volatility: an empirical analysis of 'the holy trinity' of monetary independence, fixed exchange rates, and capital mobility

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  • Rose, Andrew K.

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  • Rose, Andrew K., 1996. "Explaining exchange rate volatility: an empirical analysis of 'the holy trinity' of monetary independence, fixed exchange rates, and capital mobility," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 925-945, December.
  • Handle: RePEc:eee:jimfin:v:15:y:1996:i:6:p:925-945
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    1. Krugman, Paul & Miller, Marcus, 1993. "Why have a target zone?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 279-314, June.
    2. Flood, Robert P. & Rose, Andrew K., 1995. "Fixing exchange rates A virtual quest for fundamentals," Journal of Monetary Economics, Elsevier, vol. 36(1), pages 3-37, August.
    3. Jeffrey A. Frankel, 1997. "Sterilization of money inflows: Difficult (Calvo) or Easy (Reisen)?," Estudios de Economia, University of Chile, Department of Economics, vol. 24(2 Year 19), pages 263-285, December.
    4. Obstfeld, Maurice & Rogoff, Kenneth, 1984. "Exchange Rate Dynamics with Sluggish Prices under Alternative Price-Adjustment Rules," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 159-174, February.
    5. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "A panel project on purchasing power parity: Mean reversion within and between countries," Journal of International Economics, Elsevier, vol. 40(1-2), pages 209-224, February.
    6. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    7. Alan C. Stockman, 1993. "International Transmission under Bretton Woods," NBER Chapters, in: A Retrospective on the Bretton Woods System: Lessons for International Monetary Reform, pages 317-356, National Bureau of Economic Research, Inc.
    8. Maurice Obstfeld, 1993. "International Capital Mobility in the 1990s," NBER Working Papers 4534, National Bureau of Economic Research, Inc.
    9. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
    10. Wyplosz, Charles, 1986. "Capital controls and balance of payments crises," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 167-179, June.
    11. Jeffrey A. Frankel & Andrew K. Rose, 1994. "A Survey of Empirical Research on Nominal Exchange Rates," NBER Working Papers 4865, National Bureau of Economic Research, Inc.
    12. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    13. Alberto Alesina & Vittorio Grilli & Gian Maria Milesi-Ferrett, 1993. "The Political Economy of Capital Controls," NBER Working Papers 4353, National Bureau of Economic Research, Inc.
    14. Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729, Elsevier.
    15. Lee E. Ohanian & Alan C. Stockman, 1997. "Short-run independence of monetary policy under pegged exchange rates and effects of money on exchange rates and interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 783-814.
    16. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    17. repec:cdl:ucsbec:16-92 is not listed on IDEAS
    18. Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February.
    19. Ronald Macdonald & Mark P. Taylor, 1993. "The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 89-107, March.
    20. Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
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    Cited by:

    1. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2005. "The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 423-438, August.
    2. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2004. "Monetary Sovereignty, Exchange Rates, and Capital Controls: The Trilemma in the Interwar Period," IMF Staff Papers, Palgrave Macmillan, vol. 51(s1), pages 75-108, June.
    3. J. James Reade & Ulrich Volz, 2011. "When You Got Nothing, You Got Nothing to Lose – Regional Monetary Integration and Policy Independence," Chapters, in: Ulrich Volz (ed.), Regional Integration, Economic Development and Global Governance, chapter 12, Edward Elgar Publishing.
    4. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2011. "What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 39-61, February.
    5. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December.
    6. John C. Bluedorn & Christopher Bowdler, 2010. "The Empirics of International Monetary Transmission: Identification and the Impossible Trinity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(4), pages 679-713, June.
    7. Huber, Florian & Rabithsc, Katrin, 2019. "Exchange rate dynamics and monetary policy: Evidence from a non-linear DSGE-VAR approach," Working Papers in Economics 2019-5, University of Salzburg.
    8. Bluedorn, John & Bowdler, Christopher, 2006. "Open economy codependence: US monetary policy and interest rate pass-through," Discussion Paper Series In Economics And Econometrics 0615, Economics Division, School of Social Sciences, University of Southampton.
    9. Steiner, Andreas, 2017. "Central banks and macroeconomic policy choices: Relaxing the trilemma," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 283-299.
    10. Buch, Claudia M. & Doepke, Joerg & Pierdzioch, Christian, 2005. "Financial openness and business cycle volatility," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 744-765, September.
    11. Mr. Romain M Veyrune, 2007. "Fixed Exchange Rates and the Autonomy of Monetary Policy: The Franc Zone Case," IMF Working Papers 2007/034, International Monetary Fund.
    12. van Riet, Ad, 2015. "Market-preserving fiscal federalism in the European Monetary Union," MPRA Paper 77772, University Library of Munich, Germany.
    13. Huayu Sun, 2009. "Autonomy and Effectiveness of Chinese Monetary Policy under the De Facto Fixed Exchange Rate System," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 17(3), pages 23-38, May.
    14. Chee-Hong Law & Chee-Lip Tee & Wei-Theng Lau, 2019. "The Impacts of Financial Integration on the Linkages Between Monetary Independence and Foreign Exchange Reserves," International Economic Journal, Taylor & Francis Journals, vol. 33(2), pages 212-235, April.
    15. Yu You & Yoonbai Kim & Xiaomei Ren, 2014. "Do Capital Controls Enhance Monetary Independence?," Review of Development Economics, Wiley Blackwell, vol. 18(3), pages 475-489, August.
    16. Christopher Bowdler & John C. Bluedorn, 2006. "Open Economy Codependence: U.S. Monetary Policy and Interest Rate Pass-through," Economics Series Working Papers 290, University of Oxford, Department of Economics.
    17. Iljoong Kim & Inbae Kim, 2005. "Endogenous changes in the exchange rate regime: A bureaucratic incentive model," Public Choice, Springer, vol. 125(3), pages 339-361, December.
    18. BELAŞCU Lucian, 2016. "The Case of “EMU-Outsiders”: Economic and Political Considerations," European Journal of Interdisciplinary Studies, Bucharest Economic Academy, issue 01, March.
    19. Forssbaeck, Jens & Oxelheim, Lars, 2005. "On the Link between Exchange-Rate Regimes and Monetary-Policy Autonomy: The European Experience," Working Paper Series 637, Research Institute of Industrial Economics.
    20. Lars Einar Legernes & Erling Vardal, 2000. "From Fixers to Floaters: An Empirical Analysis of the Decline in Fixed Exchange Rate Regimes 1973-1995," Econometric Society World Congress 2000 Contributed Papers 1754, Econometric Society.
    21. Annina Kaltenbrunner & Machiko Nissanke, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility: The Empirical Study of Brazil," WIDER Working Paper Series RP2009-29, World Institute for Development Economic Research (UNU-WIDER).
    22. Jeffrey G. Williamson, 2007. "Global Capital Markets in the Long Run: A Review of Maurice Obstfeld and Alan Taylor's Global Capital Markets," Journal of Economic Literature, American Economic Association, vol. 45(2), pages 400-409, June.

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