DP1240 | After the Deluge: Do Fixed Exchange Rates Allow Inter-temporal Volatility Trade-offs?

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30/09/1995

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Abstract

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 20 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.