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Exchange-rate regimes and output volatility: empirical investigation with panel data

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  • Marjan Petreski

Abstract

The study aims to explore the relationship between exchange-rate regimes and output volatility, building on the flaws of the existing, though scarce literature. It discusses the measure of output volatility; explores the endogeneity bias doubted to be present in the literature; tests non-dynamic vs. dynamic model. The empirical investigation covers the post-Bretton-Woods era (1976–2006) and includes 169 countries. It is found that sufficiently large terms-of-trade shocks will spur output volatility under fixed, limited-flexible and flexible exchange-rate regime as compared with a floating regime, but the marginal effect is estimated to be the most severe under a peg (longer than five years).

Suggested Citation

  • Marjan Petreski, 2010. "Exchange-rate regimes and output volatility: empirical investigation with panel data," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 3(1), pages 69-99.
    • Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:69-99
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    Citations

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    Cited by:

    1. Lahura, Erick & Vega, Marco, 2013. "Regímenes cambiarios y desempeño macroeconómico: Una evaluación de la literatura," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 101-119.
    2. Marjan Petreski, 2011. "A Markov Switch to Inflation Targeting in Emerging Market Peggers with a Focus on the Czech Republic, Poland and Hungary," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 57-75.
    3. repec:wsr:wpaper:y:2010:i:057 is not listed on IDEAS
    4. Sushil Kumar Rai & Akhilesh Kumar Sharma, 2023. "Forecasting Exchange Rate Volatility In India Under Univariate And Multivariate Analysis," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 175-190, March.
    5. Marjan Petreski, 2009. "A Critique On Inflation Targeting," Journal Articles, Center For Economic Analyses, pages 11-24, December.
    6. Wong, Sara A. & Petreski, Marjan, 2014. "Dutch Disease in Latin American countries: De-industrialization, how it happens, crisis, and the role of China," MPRA Paper 57056, University Library of Munich, Germany.

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