Increasing exchange rate volatility during the recent float
The paper examines empirically whether the volatility of major floating exchange rates shows any systematic change during the period from 1973 to 1998. Four measures for unconditional and conditional volatility demonstrate increasing volatility for most currencies and for two worldwide baskets of exchange rates. Structural breaks are identified for several exchange rates, implying that the volatility increase is in some cases due to upward shifts and not due to continuous changes. This may indicate that in addition to permanent microstructural impacts, macroeconomically-caused shifts are possibly also important for the volatility increase.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 13 (2003)
Issue (Month): 12 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:877-883. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.