Real Exchange Rate Volatility: Does the Nominal Exchange Rate Regime Matter?

A recent study by Grilli and Kaminsky (1991) argues that real exchange rate (RER) behavior is likely to be dependent on the particular historical period rather than on the nominal exchange rate arrangement itself. This paper reexamines RER behavior using alternative data sets, as well as different e...

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Bibliographic Details
Main Author: Liang, Hong (Author)
Format: Electronic eBook
Language:English
Published: Washington, D.C International Monetary Fund 1998
Series:IMF Working Papers Working Paper No. 98/147
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Summary:A recent study by Grilli and Kaminsky (1991) argues that real exchange rate (RER) behavior is likely to be dependent on the particular historical period rather than on the nominal exchange rate arrangement itself. This paper reexamines RER behavior using alternative data sets, as well as different econometric methods, over the period 1880-1997. It finds strong evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an important role in determining the persistence of shocks to the RER
Physical Description:1 Online-Ressource (38 p)
ISBN:1451856709
9781451856705

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