After the Deluge: Do Fixed Exchange Rates Allow Inter-Temporal Volatility Tradeoffs?
NBER Working Paper No. 5219
This paper addresses the issue of whether regimes of fixed exchange rates are a mechanism for shifting volatility inter- temporally. Using a panel of data covering twenty industrialized countries from 1959 through 1993, I examine the volatilities of a host of real and monetary variables. Graphical and statistical examination of the periods around 33 flotations and 81 devaluations reveals little evidence of significant increases in volatility following these events.
Document Object Identifier (DOI): 10.3386/w5219
Published: International Journal of Finance and Economics, 1995
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