Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway?:
Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky price...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
1995
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 95/85 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility-based tests. In general, however, we find that exchange rates have not been excessively volatile relative to movements of their determinants, with respect to the predictions of even the most restrictive version of the monetary model. Alternative measures of "volatility", however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund, mentioning the author(s), and the date of issuance. The views expressed are those of the author(s) and do not necessarily represent those of the Fund |
| Beschreibung: | 1 Online-Ressource (32 p) |
| ISBN: | 1451850697 9781451850697 |
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| series2 | IMF Working Papers |
| spelling | Bodnar, Gordon M. Verfasser aut Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? Bodnar, Gordon M Washington, D.C International Monetary Fund 1995 1 Online-Ressource (32 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 95/85 Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility-based tests. In general, however, we find that exchange rates have not been excessively volatile relative to movements of their determinants, with respect to the predictions of even the most restrictive version of the monetary model. Alternative measures of "volatility", however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund, mentioning the author(s), and the date of issuance. The views expressed are those of the author(s) and do not necessarily represent those of the Fund Online-Ausg Bartolini, Leonardo Sonstige oth http://elibrary.imf.org/view/IMF001/00375-9781451850697/00375-9781451850697/00375-9781451850697.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Bodnar, Gordon M. Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? |
| title | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? |
| title_auth | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? |
| title_exact_search | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? |
| title_exact_search_txtP | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? |
| title_full | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? Bodnar, Gordon M |
| title_fullStr | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? Bodnar, Gordon M |
| title_full_unstemmed | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? Bodnar, Gordon M |
| title_short | Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway? |
| title_sort | are exchange rates excessively volatile and what does excessively volatile mean anyway |
| url | http://elibrary.imf.org/view/IMF001/00375-9781451850697/00375-9781451850697/00375-9781451850697.xml |
| work_keys_str_mv | AT bodnargordonm areexchangeratesexcessivelyvolatileandwhatdoesexcessivelyvolatilemeananyway AT bartolinileonardo areexchangeratesexcessivelyvolatileandwhatdoesexcessivelyvolatilemeananyway |