Are Exchange Rates Excessively Volatile? And What Does "Excessively Volatile" Mean, Anyway?

Leonardo Bartolini and Gordon Bodnar

IMF Staff Papers, 1996, vol. 43, issue 1, 72-96

Abstract: We apply recent asset price volatility tests to re-examine whether exchange rates have been "excessively" volatile over the post-Bretton Woods period relative to the predictions of the monetary model of the exchange rate and of standard extensions with sticky prices, sluggish money adjustment, and risk premiums. Our tests reject most of the models that we examine. In general, however, we find that exchange rates have not been excessively volatile, relative to the predictions of even the most restrictive versions of the model. Alternative measures of volatility, however, may disguise the cause of rejection as excessive exchange rate volatility.

JEL-codes: E44 F31 (search for similar items in EconPapers)
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.jstor.org/stable/3867353?origin=pubexport main text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Are Exchange Rates Excessively Volatile? and What Does "Excessively Volatile" Mean, Anyway? (1995)
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:pal:imfstp:v:43:y:1996:i:1:p:72-96

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/41308/PS2

Access Statistics for this article

More articles in IMF Staff Papers from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().