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Discussion Paper Details

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Title: After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?

Author(s): Andrew K Rose

Publication Date: September 1995

Keyword(s): Devaluation, Flotation, Macroeconomic, Panel and Standard deviation

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Rose, A. 1995. 'After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1240