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
JEL(s): F31, F33
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.