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

Andrew Rose

No 5219, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 1995-08
Note: IFM
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Citations: View citations in EconPapers (30)

Published as International Journal of Finance and Economics, 1995

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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 Trade-offs? (1995)
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