Structural Breaks in Volatility: Evidence from the OECD Real Exchange Rates
Amalia Morales-Zumaquero and
Simon Sosvilla-Rivero
No 2004-22, Working Papers from FEDEA
Abstract:
This paper analyses whether volatility changes in the real exchange rates (RERs) of the OECD industrial countries are associated with a specific nominal exchange rate regime. To that end, we examine RER behaviour during the period 1960-2003, thereby covering both the Bretton Woods system of fixed exchange rates and the adoption of generalised floating exchange rates from 1973. We make use of an econometric methodology based on Hansen’s (1997) approximation to the p-values of the supreme, exponential and average statistics developed by Andrews (1993) and Andrews and Ploberger (1994). This methodology allows us to obtain a profile of p-values and to delimit periods of stability and instability in the variance of real exchange rates. For most countries in our sample, there is evidence in favour of the non-neutrality of the nominal exchange rate regime regarding real exchange rate volatility.
New Economics Papers: this item is included in nep-ifn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
https://documentos.fedea.net/pubs/dt/2004/dt-2004-22.pdf (application/pdf)
Related works:
Working Paper: Structural Breaks in Volatility: Evidence for the OECD Real Exchange Rates (2005) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:fda:fdaddt:2004-22
Access Statistics for this paper
More papers in Working Papers from FEDEA
Bibliographic data for series maintained by Carmen Arias ().