IDEAS home Printed from https://ideas.repec.org/p/nbr/nberwo/0625.html
   My bibliography  Save this paper

Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market

Author

Listed:
  • Robert P. Flood

Abstract

The present paper is intended to accomplish two tasks. First, models predicting overshooting and magnification, respectively, will be checked for their consistency with two key empirical regularities: A. The observed pattern of price level vs. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely neglected reason for exchange-rate volatility, activist monetary policy, will be studied.

Suggested Citation

  • Robert P. Flood, 1981. "Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market," NBER Working Papers 0625, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:0625
    Note: ITI IFM
    as

    Download full text from publisher

    File URL: http://www.nber.org/papers/w0625.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Wilson, Charles A, 1979. "Anticipated Shocks and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 87(3), pages 639-647, June.
    2. 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.
    3. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-971, December.
    4. Krugman, Paul R., 1978. "Purchasing power parity and exchange rates : Another look at the evidence," Journal of International Economics, Elsevier, vol. 8(3), pages 397-407, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Weber, Axel A., 1997. "Sources of Currency Crisis: An Empirical Analysis," Discussion Paper Serie B 418, University of Bonn, Germany.
    2. Jeffrey A. Frankel & James H. Stock, 1983. "A Relationship Between Regression Tests and Volatility Tests of Market ncy," NBER Working Papers 1105, National Bureau of Economic Research, Inc.
    3. Weber, Axel A., 1997. "Sources of Purchasing Power Disparities Between the G3-Economies," Discussion Paper Serie B 419, University of Bonn, Germany.
    4. Myriam J. Maier, 2013. "Potential Instruments That The Ecb Could Take In Order To Face The Euro Zone Crisis," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 8(1), pages 33-48, March.
    5. Clarida, Richard & Gali, Jordi, 1994. "Sources of real exchange-rate fluctuations: How important are nominal shocks?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 1-56, December.
    6. Axel A. Weber, 1998. "Sources of Currency Crises: An Empirical Analysis," Working Papers 25, Oesterreichische Nationalbank (Austrian Central Bank).
    7. Thomas M. Humphrey, 1981. "Explaining exchange rate behavior : an augmented version of the monetary approach," Economic Review, Federal Reserve Bank of Richmond, issue May, pages 3-11.
    8. Papell, David H., 1985. "Activist monetary policy, imperfect capital mobility, and the overshooting hypothesis," Journal of International Economics, Elsevier, vol. 18(3-4), pages 219-240, May.
    9. Meese, Richard & Rogoff, Kenneth, 1986. "Was it real? The exchange rate -- Interest differential relation: 1973-1984," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 297-298, June.
    10. Alberto Giovannini, 1988. "The Macroeconomics of Exchange-rate and Price-level Interactions: Empirical Evidence for West Germany," NBER Working Papers 2544, National Bureau of Economic Research, Inc.
    11. Irving B. Kravis & Robert E. Lipsey, 1982. "Towards an Explanation of National Price Levels," NBER Working Papers 1034, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:0625. 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: (). General contact details of provider: http://edirc.repec.org/data/nberrus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.