Title: Divergence indicators and the volatility smoothness in semi-fixed exchange rate regimes
Authors: Dewachter, Hans # ×
Issue Date: 1995
Publisher: J c b mohr
Series Title: Weltwirtschaftliches archiv-review of world economics vol:131 issue:4 pages:695-707
Abstract: Fixed or semi-fixed exchange rate regimes have volatility paths that are in general less smooth than their free floating counterpart. Moreover, there tends to be a correlation between the lack of smoothness and the weakness of the currency. In this article, the effects of divergence from central parity on the smoothness of the volatility are discussed within the framework of a TGARCH model. It is shown that, for various EMS rates, the divergence indicator has a statistically significant effect on the smoothness of the volatility path.
ISSN: 0043-2636
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
× corresponding author
# (joint) last author

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