Explaining the Transition Between Exchange Rate Regimes

This paper studies the transition between exchange rate regimes using a Markov chain model with time-varying transition probabilities. The probabilities are parameterized as nonlinear functions of variables suggested by the currency crisis and optimal currency area literature. Results using annual data indicate that inflation, and to a lesser extent, output growth and trade openness help explain the exchange rate regime transition dynamics.

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Year of publication:	2003
Authors:	MASSON, Paul ; RUGE-MURCIA, Francisco J.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	Exchange rates \| hollowing out hypothesis \| regime change \| Markov chains \| pegs \| floating

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Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	27 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005133079