Nominal exchange rate volatility, relative price volatility, and the real exchange rate

Srideep Ganguly and Janice Boucher Breuer
Authors registered in the RePEc Author Service: Janice Breuer Bass

Journal of International Money and Finance, 2010, vol. 29, issue 5, 840-856

Abstract: We model real exchange rate, nominal exchange rate, and relative price volatility using real and nominal factors. We analyze these volatility measures across developing and industrialized countries. We find that the inclusion of nominal factors achieves a sizable reduction in the real exchange rate volatility spread between developing and industrialized countries. In addition, we find that nominal factors matter to real exchange rate volatility in the short run and the long run, and that for developing countries, a higher share of real exchange rate volatility stems from relative price volatility.

Keywords: Real; exchange; rate; Nominal; exchange; rate; Volatility; Variance (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:29:y:2010:i:5:p:840-856

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