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Exchange Rate Regimes and Business Cycle Properties: Some Stylized Facts

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  • Sopraseuth, T.

Abstract

This paper aims at measuring the robustness of Real Business Cycle international stylized facts across exchange rate regimes. I thus investigate th e impact of the Bretton Woods System and the ERM on the business cycle regularities. Thanks to bootstrap techniques, I measure the accuracy of the statistics. While exchange rate variability is sensitive to the nature of the exchange rate regime, the volatility of macroeconomic fundamentals does not differ across exchange rate regimes. Moreover, there is evidence that fixed-rates enhance international comovement of ouput, consumption and investment.

Suggested Citation

  • Sopraseuth, T., 1999. "Exchange Rate Regimes and Business Cycle Properties: Some Stylized Facts," Papiers d'Economie Mathématique et Applications 1999.51, Université Panthéon-Sorbonne (Paris 1).
  • Handle: RePEc:fth:pariem:1999.51
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    References listed on IDEAS

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    1. Feldman, Maryann P. & Audretsch, David B., 1999. "Innovation in cities:: Science-based diversity, specialization and localized competition," European Economic Review, Elsevier, vol. 43(2), pages 409-429, February.
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    Citations

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    Cited by:

    1. Luca Dedola & Sylvain Leduc, 1999. "On exchange rate regimes, exchange rate fluctuations, and fundamentals," Working Papers 99-16, Federal Reserve Bank of Philadelphia.
    2. Dedola, Luca & Leduc, Sylvain, 2001. "Why Is the Business-Cycle Behaviour of Fundamentals Alike across Exchange-Rate Regimes?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 401-419, October.

    More about this item

    Keywords

    EXCHANGE RATE ; FINANCIAL POLICY ; ECONOMIC MODELS;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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