Discussion paper

DP1240 After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?

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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Citation

Rose, A (1995), ‘DP1240 After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?‘, CEPR Discussion Paper No. 1240. CEPR Press, Paris & London. https://cepr.org/publications/dp1240