Working Paper: CEPR ID: DP1240
Authors: Andrew K. Rose
Abstract: This paper addresses the issue of whether regimes of fixed exchange rates are a mechanism for shifting volatility inter-temporally. Using a panel of data covering 20 industrialized countries from 1959 through 1993, I examine the volatilities of a host of real and monetary variables. Graphical and statistical examination of the periods around 33 flotations and 81 devaluations reveals little evidence of significant increases in volatility following these events.
Keywords: flotation; devaluation; panel; macroeconomic; standard deviation
JEL Codes: F31; F33
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| fixed exchange rates (F31) | exchange rate volatility (F31) |
| floating exchange rates (F31) | exchange rate volatility (F31) |
| fixed exchange rates (F31) | volatility of other macroeconomic variables (E39) |
| fixed exchange rates (F31) | intertemporal volatility tradeoffs (D15) |