Real Exchange Rate Volatility: Is Sub-Saharan Africa Different?

Michael Bleaney and Manuela Francisco ()
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Manuela Francisco: World Bank, Washington DC, and NIPE, University of Minho

No 3/2016, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: Real effective exchange rate volatility is examined for 90 countries using monthly data for the period January 1990 to June 2006. Volatility increases with country size and the inflation rate, and is greater in developing countries. Volatility is particularly high in sub-Saharan Africa after controlling for these factors. Exchange rate regime effects, as identified by the IMF’s current de facto methodology, are significant. Free floats have higher volatility than other regimes, and crawling pegs/bands appear to be a form of real exchange rate targeting. The results are robust to alternative volatility measures.

Keywords: Exchange rate regimes; inflation; volatility (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2016
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