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 vol...

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Bibliographic Details
Main Authors:	Bleaney, Michael, Francisco, Manuela
Format:	Journal Article
Language:	EN
Published:	2012
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

id	okr-10986-5427
recordtype	oai_dc
spelling	okr-10986-54272021-04-23T14:02:22Z 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
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	EN
topic	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 Bleaney, Michael Francisco, Manuela What Makes Currencies Volatile? An Empirical Investigation
relation	http://creativecommons.org/licenses/by-nc-nd/3.0/igo
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
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	2012
url	http://hdl.handle.net/10986/5427
_version_	1764395016838447104

What Makes Currencies Volatile? An Empirical Investigation

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