Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates
This paper attempts to determine whether or not nominal exchange rate regimes affect the volatility of bilateral and effective real exchange rates. To that end, we examine the real exchange rate behaviour for a set of OECD and non-OECD countries during the 1960–2006 period, therefore covering both t...
| Authors: | ; |
|---|---|
| Format: | Article |
| Publication date: | 2010 |
| Country: | España |
| Institution: | Universidad Complutense de Madrid (UCM) |
| Repository: | Docta Complutense |
| Language: | English |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/42991 |
| Online Access: | https://hdl.handle.net/20.500.14352/42991 |
| Access Level: | Open access |
| Keyword: | F31 F33 F41 Exchange rate regimes Bilateral and effective real exchange rates Volatility Comercio Economía internacional 5304.03 Comercio exterior 5310 Economía Internacional |
| _version_ | 1878741421746290688 |
|---|---|
| author | Morales Zumaquero, Amalia |
| author2 | Sosvilla Rivero, Simón Javier |
| author2_role | author |
| author_browse | Morales Zumaquero, Amalia Sosvilla Rivero, Simón Javier |
| author_facet | Morales Zumaquero, Amalia Sosvilla Rivero, Simón Javier |
| author_role | author |
| collection | Docta Complutense |
| description | This paper attempts to determine whether or not nominal exchange rate regimes affect the volatility of bilateral and effective real exchange rates. To that end, we examine the real exchange rate behaviour for a set of OECD and non-OECD countries during the 1960–2006 period, therefore covering both the Bretton Woods system of fixed exchange rates and the adoption of generalised floating exchange rates from 1973. We make use of an econometric methodology based on the Hansen’s (Hansen, B.E., 1997. Approximate asymptotic P values for structural-change tests. Journal of Business and Economic Statistics 15 (1), 60–67) approximation to the p-values of the supreme, exponential and average statistics developed by Andrews (Andrews, D., 1993. Test for parameter instability and structural change with unknown change point. Econometrica 61 (4), 821–856) and Andrews and Ploberger (Andrews, D., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 (6), 1383–1414). This methodology allows us to obtain a profile of p-values and to delimit periods of stability and instability in the variance of real exchange rates. Results suggest that there is clear evidence in favour of the non-neutrality of nominal exchange rate regime regarding real exchange rate volatility for developed countries, but not in the case of developing or emerging countries. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | ES_e4e0c4205a67cee7d7b8a9e6e0b6a1f9 |
| institution | Universidad Complutense de Madrid (UCM) |
| instname_str | Universidad Complutense de Madrid (UCM) |
| language | eng |
| network_acronym_str | ES |
| network_name_str | España |
| oai_identifier_str | oai:docta.ucm.es:20.500.14352/42991 |
| publishDate | 2010 |
| publishDateSort | 2010 |
| publisher | Elsevier |
| publisherStr | Elsevier |
| reponame_str | Docta Complutense |
| spelling | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates Morales Zumaquero, Amalia Sosvilla Rivero, Simón Javier F31 F33 F41 Exchange rate regimes Bilateral and effective real exchange rates Volatility Comercio Economía internacional 5304.03 Comercio exterior 5310 Economía Internacional This paper attempts to determine whether or not nominal exchange rate regimes affect the volatility of bilateral and effective real exchange rates. To that end, we examine the real exchange rate behaviour for a set of OECD and non-OECD countries during the 1960–2006 period, therefore covering both the Bretton Woods system of fixed exchange rates and the adoption of generalised floating exchange rates from 1973. We make use of an econometric methodology based on the Hansen’s (Hansen, B.E., 1997. Approximate asymptotic P values for structural-change tests. Journal of Business and Economic Statistics 15 (1), 60–67) approximation to the p-values of the supreme, exponential and average statistics developed by Andrews (Andrews, D., 1993. Test for parameter instability and structural change with unknown change point. Econometrica 61 (4), 821–856) and Andrews and Ploberger (Andrews, D., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 (6), 1383–1414). This methodology allows us to obtain a profile of p-values and to delimit periods of stability and instability in the variance of real exchange rates. Results suggest that there is clear evidence in favour of the non-neutrality of nominal exchange rate regime regarding real exchange rate volatility for developed countries, but not in the case of developing or emerging countries. Elsevier https://hdl.handle.net/20.500.14352/42991 |
| spellingShingle | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates Morales Zumaquero, Amalia F31 F33 F41 Exchange rate regimes Bilateral and effective real exchange rates Volatility Comercio Economía internacional 5304.03 Comercio exterior 5310 Economía Internacional |
| title | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates |
| title_full | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates |
| title_fullStr | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates |
| title_full_unstemmed | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates |
| title_short | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates |
| title_sort | Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates |
| topic | F31 F33 F41 Exchange rate regimes Bilateral and effective real exchange rates Volatility Comercio Economía internacional 5304.03 Comercio exterior 5310 Economía Internacional |
| topic_facet | F31 F33 F41 Exchange rate regimes Bilateral and effective real exchange rates Volatility Comercio Economía internacional 5304.03 Comercio exterior 5310 Economía Internacional |
| url | https://hdl.handle.net/20.500.14352/42991 |