The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach

This paper seeks to analyze the relationship between exchange rate regimes and short-term volatility of the effective real exchange rate. To these ends, a sample of 62 countries for the 1980-1999 period, the GMM methodology for dynamic panel models proposed by Arellano and Bond (1991) and diverse ex...

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Detalles Bibliográficos
Autores principales: Carrera, Jorge Eduardo, Vúletin, Guillermo Javier
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2002
Materias:
Ciencias Económicas
Exchange rate regimes
Effective real exchange rate
Volatility
Panel data
Internal instruments
GMM
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/165092
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-165092
record_format dspace
spelling I19-R120-10915-1650922024-04-19T20:08:54Z http://sedici.unlp.edu.ar/handle/10915/165092 The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach Carrera, Jorge Eduardo Vúletin, Guillermo Javier 2002-11 2002 2024-04-19T18:57:20Z en Ciencias Económicas Exchange rate regimes Effective real exchange rate Volatility Panel data Internal instruments GMM This paper seeks to analyze the relationship between exchange rate regimes and short-term volatility of the effective real exchange rate. To these ends, a sample of 62 countries for the 1980-1999 period, the GMM methodology for dynamic panel models proposed by Arellano and Bond (1991) and diverse exchange classifications are used. In relation to the latter, this paper discusses recent regime classifications and proposes a new exchange rate classification that contrasts de facto and de jure classifications. It allows checking possible inconsistencies between the commitment of the central bank and its observed behavior. The results confirm the non-neutrality of regime regarding real exchange rate volatility. The findings show that the de jure peg induces more volatility than the flexible ones. When considering the new classification, corner solutions have the same real volatility, while the rest of the categories of exchange rate regimes purvey more real exchange rate volatility. It is also found that more openness, increase in per capita GDP and in terms of trade, reduce volatility; conversely, positive monetary shocks and increase in capital inflows and in public expenditure increase this real volatility. Evidence is also obtained that supports the view that the analysis of the dynamics of the exchange rate regimes needs to differentiate between developed and developing couniries. Este trabajo analiza la relación entre régimen cambiario y volatilidad de corto plazo del tipo de cambio real multilateral (TCR). Para ello se combinan varias clasificaciones cambiarias para una muestra de 62 países en el período 1980-1999 con la metodología de Arellano y Bond (1991) para paneles dinámicos. Respecto a las clasificaciones el trabajo discute algunas clasificaciones de facto recientes y propone una nueva clasificación que contrasta las clasificaciones de jure con las de facto. Ello permite detectar posibles inconsistencias entre el compromiso del banco central y el comportamiento observado. Los resultados confirman la no neutralidad de los regimenes cambiarios respecto a la volatilidad real del TCR. Los resultados muestran también que las fijaciones de jure presentan más volatilidad que las flexibles. Cuando se considera la nueva clasificación, las soluciones extremas (fijo consistente y flexible) tienen la similar volatilidad real. Además, esta son las menores de la muestra comparada con el resto de los regimenes. Adicionalmente, mayor apertura, aumentos en el PBI per capita y shock en los términos de intercambio reducen la volatilidad real mientras que shocks monetarios positivos, incrementos en los flujos de capitales y en el gasto público incrementan la volatilidad del TCR. También se obtiene evidencia de la necesidad de diferenciar el comportamiento de los regimenes en países de la OECD respecto a los países emergentes o en desarrollo. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Exchange rate regimes
Effective real exchange rate
Volatility
Panel data
Internal instruments
GMM
spellingShingle Ciencias Económicas
Exchange rate regimes
Effective real exchange rate
Volatility
Panel data
Internal instruments
GMM
Carrera, Jorge Eduardo
Vúletin, Guillermo Javier
The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach
topic_facet Ciencias Económicas
Exchange rate regimes
Effective real exchange rate
Volatility
Panel data
Internal instruments
GMM
description This paper seeks to analyze the relationship between exchange rate regimes and short-term volatility of the effective real exchange rate. To these ends, a sample of 62 countries for the 1980-1999 period, the GMM methodology for dynamic panel models proposed by Arellano and Bond (1991) and diverse exchange classifications are used. In relation to the latter, this paper discusses recent regime classifications and proposes a new exchange rate classification that contrasts de facto and de jure classifications. It allows checking possible inconsistencies between the commitment of the central bank and its observed behavior. The results confirm the non-neutrality of regime regarding real exchange rate volatility. The findings show that the de jure peg induces more volatility than the flexible ones. When considering the new classification, corner solutions have the same real volatility, while the rest of the categories of exchange rate regimes purvey more real exchange rate volatility. It is also found that more openness, increase in per capita GDP and in terms of trade, reduce volatility; conversely, positive monetary shocks and increase in capital inflows and in public expenditure increase this real volatility. Evidence is also obtained that supports the view that the analysis of the dynamics of the exchange rate regimes needs to differentiate between developed and developing couniries.
format Objeto de conferencia
Objeto de conferencia
author Carrera, Jorge Eduardo
Vúletin, Guillermo Javier
author_facet Carrera, Jorge Eduardo
Vúletin, Guillermo Javier
author_sort Carrera, Jorge Eduardo
title The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach
title_short The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach
title_full The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach
title_fullStr The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach
title_full_unstemmed The effects of exchange rate regimes on real exchange rate volatility : A dynamic panel data approach
title_sort effects of exchange rate regimes on real exchange rate volatility : a dynamic panel data approach
publishDate 2002
url http://sedici.unlp.edu.ar/handle/10915/165092
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AT carrerajorgeeduardo effectsofexchangerateregimesonrealexchangeratevolatilityadynamicpaneldataapproach
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