Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates

Journal of International Money and Finance

Volumn 29, Issue 1, 2010, Pages 139-168

  Morales Zumaquero, Amalia ^a   Sosvilla Rivero, Simon ^b  

^a UNIVERSITY OF MÁLAGA   (Spain)

^b UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

Author keywords

Bilateral and effective real exchange rates; Exchange rate regimes; Volatility

Indexed keywords

EID: 72649100411     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2008.12.006     Document Type: Article

References (22)

1. Andrews D. Test for parameter instability and structural change with unknown change point. Econometrica 61 4 (1993) 821-856
2. Andrews D., and Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 6 (1994) 1383-1414
3. Bastourre, D., Carrera, J., 2004. Could the exchange rate regime reduce macroeconomic volatility? In: Proceedings of the 32th Brazilian Economics Meeting. Available from: http://www.anpec.org.br/encontro2004/artigos/A04A067.pdf.
4. Baxter M., and Stockman A. Business cycles and the exchange-rate regime: some international evidence. Journal of Monetary Economics 23 3 (1989) 377-400
5. Camacho M. Vector smooth transition regression models for the US GDP and the composite index of leading indicators. Journal of Forecasting 23 3 (2004) 173-196
6. Carrera, J., Vuletin, G., 2003. The effects of exchange rate regimes on real exchange rate volatility. A dynamic panel data approach. In: Proceedings of the 32th Brazilian Economics Meeting. Available from: http://www.anpec.org.br/encontro2003/artigos/C67.pdf.
7. Cooper R.N. Exchange rate choices. In: Little J.S., and Olivei G.P. (Eds). Rethinking the International Monetary System (1999), Federal Reserve Bank of Boston 99-123 Conference Series 43
8. Flood R., and Rose A. Fixing exchange rates: a virtual quest for fundamentals. Journal of Monetary Economics 36 1 (1995) 3-37
9. Frankel J., and Rose A. Empirical research on nominal exchange rates. In: Grossman G., and Rogoff K. (Eds). Handbook of International Economics vol. 3 (1995), New Holland, Amsterdam 1689-1729
10. Goldfajn I., and Valdés R.O. The aftermath of appreciations. The Quarterly Journal of Economics 114 1 (1999) 229-262
11. Grilly V., and Kaminsky G. Nominal exchange rate regimes and real exchange rate: evidence from the United States and Britain, 1885-86. Journal of Monetary Economics 27 2 (1991) 191-212
12. Hansen B.E. Approximate asymptotic P values for structural-change tests. Journal of Business and Economic Statistics 15 1 (1997) 60-67
13. Hausman R., Gavin M., Pages C., and Stain E. Financial Turmoil and the Crises of Exchange Rate Regimes. Working Paper No. 400 (1999), Inter-American Development Bank, Washington, D.C
14. Kent C., and Naja R. Effective Exchange Rates and Irrelevant Nominal Exchange-Rate Regime. Research Discussion Paper, 9811 (1998), Reserve Bank of Australia, Sydney
15. Ledesma-Rodríguez F., Navarro-Ibáñez M., Pérez-Rodríguez J., and Sosvilla-Rivero S. Implicit bands in the Spanish Peseta/Deutschmark exchange rate, 1965-1998. Applied Financial Economics 17 11 (2007) 921-932
16. Liang, H., 1998. Real Exchange Rate Volatility: Does the Nominal Exchange Rate Regime Matter? IMF Working Paper, 98147, Washington, D.C.
17. McConnell M.M., and Pérez-Quirós G. Output fluctuations in the United States: what has changed since the early 1980s?. American Economic Review 90 5 (2000) 1464-1476
18. Mussa M. Nominal exchange rate regimes and the behaviour of the real exchange rates: evidence and implications. Carnegie-Rochester Conference Series on Public Policy 25 1 (1986) 117-214
19. Reinhart C.M., and Rogoff K.S. The modern history of exchange rate arrangements: a reinterpretation. Quarterly Journal of Economics 119 1 (2004) 1-48
20. Rodrik, D., 2000. Exchange rate regimes and institutional arrangements in the shadow of capital flows. In: Paper Presented on a Conference on Central Banking and Sustainable Development, Held in Kuala Lumpur, Malaysia. Available from: http://ksghome.harvard.edu/∼drodrik/malaysia%20conference%20paper.pdf.
21. Rogers J.H. Real Shocks and Real Exchange Rates in Really Long-Term Data. International Finance Discussion Papers, 493 (1995), Board of Governors of the Federal Reserve System, Washington, D.C
22. Sin C.Y., and White H. Information criteria for selecting possibly misspecified parametric models. Journal of Econometrics 71 1-2 (1996) 207-225