After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Tradeoffs?

Andrew Rose

International Journal of Finance & Economics, 1996, vol. 1, issue 1, 47-54

Abstract: 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 twenty 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. Copyright @ 1996 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1996
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Related works:
Working Paper: After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs? (1995)
Working Paper: After the Deluge: Do Fixed Exchange Rates Allow Inter-Temporal Volatility Tradeoffs? (1995)
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