Real exchange rate volatility, financial crises and exchange-rate regimes
| dc.contributor.author | Morales-Zumaquero, Amalia | |
| dc.contributor.author | Sosvilla Rivero, Simón Javier | |
| dc.date.accessioned | 2023-06-19T14:54:23Z | |
| dc.date.available | 2023-06-19T14:54:23Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | This paper examines real exchange rate (RER) volatility in eighty countries around the world, during the period 1970 to 2011. Two main questions are raised: are structural breaks in RER volatility related to changes in exchange-rate regimes or financial crises? And do these two events affect the permanent and transitory components of RER volatility? To answer them, we employ two complementary procedures that consist in detecting structural breaks in the RER series and decomposing volatility into its permanent and transitory components. Our results suggest that structural breaks in RER volatility coincidence with financial crises and certain changes in nominal exchange-rate regimes. Moreover, our findings confirm that RER volatility does increase with the global financial crises and detect that the more flexible the exchange rate regime, the higher the volatility of the RER using a de facto exchange rate classification. | |
| dc.description.department | Depto. de Análisis Económico y Economía Cuantitativa | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.sponsorship | Spanish Ministry of Economy and Competitiveness | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/30655 | |
| dc.identifier.issn | 0003-6846 | |
| dc.identifier.officialurl | http://www.tandfonline.com/loi/raec20#.VW3uXc_tmko | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/34697 | |
| dc.issue.number | 8 | |
| dc.journal.title | Applied Economics | |
| dc.language.iso | eng | |
| dc.page.final | 847 | |
| dc.page.initial | 826 | |
| dc.publisher | Taylor & Francis | |
| dc.relation.projectID | ECO2011-23189 | |
| dc.rights.accessRights | open access | |
| dc.subject.jel | G01 | |
| dc.subject.jel | C22 | |
| dc.subject.jel | C54 | |
| dc.subject.jel | F33 | |
| dc.subject.keyword | Financial Crisis | |
| dc.subject.keyword | Structural Breaks | |
| dc.subject.keyword | Component-GARCH Model | |
| dc.subject.keyword | Real Exchange Rates | |
| dc.subject.ucm | Crisis económicas | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.ucm | Economía internacional | |
| dc.subject.ucm | Macroeconomía | |
| dc.subject.unesco | 5307.06 Fluctuaciones Económicas | |
| dc.subject.unesco | 5302 Econometría | |
| dc.subject.unesco | 5310 Economía Internacional | |
| dc.subject.unesco | 5307.14 Teoría Macroeconómica | |
| dc.title | Real exchange rate volatility, financial crises and exchange-rate regimes | |
| dc.type | journal article | |
| dc.volume.number | 46 | |
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| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 13e83682-e923-4f28-a770-1140d295a334 | |
| relation.isAuthorOfPublication.latestForDiscovery | 13e83682-e923-4f28-a770-1140d295a334 |
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