DP1240 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, Standard deviation|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=1240|
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.