What Makes Currencies Volatile? An Empirical Investigation
Real effective exchange rate volatility is examined for 90 countries using monthly data from January 1990 to June 2006. Volatility decreases with openness to international trade and per capita GDP, and increases with inflation, particularly under a horizontal peg or band, and with terms-of-trade volatility. The choice of exchange rate regime matters. After controlling for these effects, an independent float adds at least 45% to the standard deviation of the real effective exchange rate, relative to a conventional peg, but most other regimes make little difference. The results are robust to alternative volatility measures and to sample selection bias.
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| Format: | Journal Article biblioteca |
| Language: | EN |
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2010
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| Subjects: | Foreign Exchange F310, International Monetary Arrangements and Institutions F330, Open Economy Macroeconomics F410, International Financial Markets G150, |
| Online Access: | http://hdl.handle.net/10986/5427 |
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dig-okr-1098654272021-04-23T14:02:22Z What Makes Currencies Volatile? An Empirical Investigation Bleaney, Michael Francisco, Manuela Foreign Exchange F310 International Monetary Arrangements and Institutions F330 Open Economy Macroeconomics F410 International Financial Markets G150 Real effective exchange rate volatility is examined for 90 countries using monthly data from January 1990 to June 2006. Volatility decreases with openness to international trade and per capita GDP, and increases with inflation, particularly under a horizontal peg or band, and with terms-of-trade volatility. The choice of exchange rate regime matters. After controlling for these effects, an independent float adds at least 45% to the standard deviation of the real effective exchange rate, relative to a conventional peg, but most other regimes make little difference. The results are robust to alternative volatility measures and to sample selection bias. 2012-03-30T07:32:46Z 2012-03-30T07:32:46Z 2010 Journal Article Open Economies Review 09237992 http://hdl.handle.net/10986/5427 EN http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Journal Article |
| institution |
Banco Mundial |
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| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
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En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
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America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
EN |
| topic |
Foreign Exchange F310 International Monetary Arrangements and Institutions F330 Open Economy Macroeconomics F410 International Financial Markets G150 Foreign Exchange F310 International Monetary Arrangements and Institutions F330 Open Economy Macroeconomics F410 International Financial Markets G150 |
| spellingShingle |
Foreign Exchange F310 International Monetary Arrangements and Institutions F330 Open Economy Macroeconomics F410 International Financial Markets G150 Foreign Exchange F310 International Monetary Arrangements and Institutions F330 Open Economy Macroeconomics F410 International Financial Markets G150 Bleaney, Michael Francisco, Manuela What Makes Currencies Volatile? An Empirical Investigation |
| description |
Real effective exchange rate volatility is examined for 90 countries using monthly data from January 1990 to June 2006. Volatility decreases with openness to international trade and per capita GDP, and increases with inflation, particularly under a horizontal peg or band, and with terms-of-trade volatility. The choice of exchange rate regime matters. After controlling for these effects, an independent float adds at least 45% to the standard deviation of the real effective exchange rate, relative to a conventional peg, but most other regimes make little difference. The results are robust to alternative volatility measures and to sample selection bias. |
| format |
Journal Article |
| topic_facet |
Foreign Exchange F310 International Monetary Arrangements and Institutions F330 Open Economy Macroeconomics F410 International Financial Markets G150 |
| author |
Bleaney, Michael Francisco, Manuela |
| author_facet |
Bleaney, Michael Francisco, Manuela |
| author_sort |
Bleaney, Michael |
| title |
What Makes Currencies Volatile? An Empirical Investigation |
| title_short |
What Makes Currencies Volatile? An Empirical Investigation |
| title_full |
What Makes Currencies Volatile? An Empirical Investigation |
| title_fullStr |
What Makes Currencies Volatile? An Empirical Investigation |
| title_full_unstemmed |
What Makes Currencies Volatile? An Empirical Investigation |
| title_sort |
what makes currencies volatile? an empirical investigation |
| publishDate |
2010 |
| url |
http://hdl.handle.net/10986/5427 |
| work_keys_str_mv |
AT bleaneymichael whatmakescurrenciesvolatileanempiricalinvestigation AT franciscomanuela whatmakescurrenciesvolatileanempiricalinvestigation |
| _version_ |
1756571618725855232 |