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

Andrew Rose

No 1240, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 20 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.

Keywords: Devaluation; Flotation; Macroeconomic; Panel; Standard deviation (search for similar items in EconPapers)
JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 1995-09
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Citations: View citations in EconPapers (32)

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