EconPapers    
Economics at your fingertips  
 

Real exchange rate volatility, financial crises and nominal exchange regimes

Amalia Morales-Zumaquero (amalia@uma.es) and Simon Sosvilla-Rivero
Additional contact information
Amalia Morales-Zumaquero: Departamento de Teoría e Historia Económica, Facultad de Ciencias Económicas y Empresariales, Universidad de Málaga

No 12-05, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the period 1970 to 2011. Our main goal is to explore the role of nominal exchange rate regimes and financial crises in explaining the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate volatility does increase with the global financial crises and detect the existence of an inverse relationship between the degree of flexibility in the exchange rate regime and RER volatility using a de facto exchange rate classification.

Keywords: Financial Crisis; Structural Breaks; Component-GARCH Model (search for similar items in EconPapers)
JEL-codes: C22 C54 F33 G01 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2012-10
New Economics Papers: this item is included in nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.aeefi.com/RePEc/pdf/defi12-05.pdf (application/pdf)

Related works:
Working Paper: Real exchange rate volatility, financial crises and nominal exchange regimes (2013) Downloads
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:aee:wpaper:1205

Access Statistics for this paper

More papers in Working Papers from Asociación Española de Economía y Finanzas Internacionales Contact information at EDIRC.
Bibliographic data for series maintained by Luis Miguel del Corral Cuervo (luismigueldelcorral@gmail.com).

 
Page updated 2025-03-22
Handle: RePEc:aee:wpaper:1205