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...

Descripción completa

Detalles Bibliográficos
Autores: Morales Zumaquero, Amalia, Sosvilla Rivero, Simón Javier
Tipo de recurso: artículo
Fecha de publicación:2010
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/42991
Acceso en línea:https://hdl.handle.net/20.500.14352/42991
Access Level:acceso abierto
Palabra clave:F31
F33
F41
Exchange rate regimes
Bilateral and effective real exchange rates
Volatility
Comercio
Economía internacional
5304.03 Comercio exterior
5310 Economía Internacional
id ES_e4e0c4205a67cee7d7b8a9e6e0b6a1f9
oai_identifier_str oai:docta.ucm.es:20.500.14352/42991
network_acronym_str ES
network_name_str España
repository_id_str
spelling Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange ratesMorales Zumaquero, AmaliaSosvilla Rivero, Simón JavierF31F33F41Exchange rate regimesBilateral and effective real exchange ratesVolatilityComercioEconomía internacional5304.03 Comercio exterior5310 Economía InternacionalThis 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.ElsevierUniversidad Complutense de Madrid20102010-01-0120102010-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/42991reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/429912026-06-02T12:44:21Z
dc.title.none.fl_str_mv Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates
title Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates
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_short 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_sort Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates
dc.creator.none.fl_str_mv Morales Zumaquero, Amalia
Sosvilla Rivero, Simón Javier
author Morales Zumaquero, Amalia
author_facet Morales Zumaquero, Amalia
Sosvilla Rivero, Simón Javier
author_role author
author2 Sosvilla Rivero, Simón Javier
author2_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv F31
F33
F41
Exchange rate regimes
Bilateral and effective real exchange rates
Volatility
Comercio
Economía internacional
5304.03 Comercio exterior
5310 Economía Internacional
topic F31
F33
F41
Exchange rate regimes
Bilateral and effective real exchange rates
Volatility
Comercio
Economía internacional
5304.03 Comercio exterior
5310 Economía Internacional
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.
publishDate 2010
dc.date.none.fl_str_mv 2010
2010-01-01
2010
2010-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/42991
url https://hdl.handle.net/20.500.14352/42991
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869422630208012288
score 15.300724

Similares en LA Referencia