RT Journal Article
T1 Real exchange rate volatility, financial crises and exchange-rate regimes
A1 Morales-Zumaquero, Amalia
A1 Sosvilla Rivero, Simón Javier
AB 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.
PB Taylor & Francis
SN 0003-6846
YR 2014
FD 2014
LK https://hdl.handle.net/20.500.14352/34697
UL https://hdl.handle.net/20.500.14352/34697
LA eng
NO Spanish Ministry of Economy and Competitiveness
DS Docta Complutense
RD 17 dic 2025