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...
Guardado en:
| Autores principales: | , |
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| Formato: | Objeto de conferencia |
| Lenguaje: | Inglés |
| Publicado: |
2002
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| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/165092 |
| Aporte de: |
| Sumario: | 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. |
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