Title

Exchange Rate Regimes and Uncertainty

Document Type

Article

Publication Date

9-1995

Publication Source

Review of World Economics (Weltwirtschaftliches Archiv)

Abstract

This paper examines the change in exchange rate uncertainty between the Bretton Woods and floating exchange rate periods. We estimate both the unconditional variance and the conditional variance of the DM/dollar exchange rate under each exchange rate regime. The former is estimated on the basis of the coefficient of variation and the latter on the basis of a GARCH model. Our GARCH results show that the unconditional variance greatly understates the change in exchange rate uncertainty that resulted from the switch to a flexible exchange rate regime.

Inclusive pages

569-576

ISBN/ISSN

0043-2636

Publisher

Springer

Volume

131

Issue

3

Peer Reviewed

yes