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:	Département de Sciences Économiques, Université de Montréal
Subject:	Exchange rates \| hollowing out hythesis \| regime change \| Markov chains \| gs \| floating

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Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	F33 - International Monetary Arrangements and Institutions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005729907