Explaining the Transition between Exchange Rate Regimes

Paul Masson and Francisco J. Ruge‐Murcia
Authors registered in the RePEc Author Service: Francisco J. Ruge-Murcia

Scandinavian Journal of Economics, 2005, vol. 107, issue 2, 261-278

Abstract: This paper studies the transition between exchange rate regimes using a Markov chain model with time‐varying transition probabilities. The probabilities are parameterized as nonlinear functions of variables suggested by the currency crisis and optimal currency area literature. Results using annual data indicate that inflation and, to a lesser extent, output growth and trade openness help explain the exchange rate regime transition dynamics.

Date: 2005
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Citations: View citations in EconPapers (20)

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https://doi.org/10.1111/j.1467-9442.2005.00407.x

Related works:
Working Paper: Explaining the Transition Between Exchange Rate Regimes (2003)
Working Paper: Explaining the Transition Between Exchange Rate Regimes (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scandj:v:107:y:2005:i:2:p:261-278

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