Real exchange rate volatility, financial crises and nominal exchange regimes
Amalia Morales-Zumaquero () and
Simon Sosvilla-Rivero ()
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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
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: G01 C22 C54 F33 (search for similar items in EconPapers)
Pages: 56 pages
New Economics Papers: this item is included in nep-mon and nep-opm
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Working Paper: Real exchange rate volatility, financial crises and nominal exchange regimes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:1205
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