Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market
(769 K)
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NBER Working Paper No. 625 (Also Reprint No. r0247)
Issued in February 1982
NBER Program(s): ITI IFM
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.
Published: 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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