Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market
The present paper is intended to accomplish two tasks. First, models predicting overshooting and magnification, respectively, will be checked for their consistency with two key empirical regularities: A. The observed pattern of price level vs. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely neglected reason for exchange-rate volatility, activist monetary policy, will be studied.
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Copy CitationRobert P. Flood, "Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market," NBER Working Paper 0625 (1981), https://doi.org/10.3386/w0625.Download Citation
Published Versions
Flood, Robert P. "Explanations of Exchange-Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market." Carnegie-Rochester Conference Series on Public Policy, Vol. 15, The Costs and Consequences of Inflation, pp. 219-249, (Autumn 1981).
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