Understanding bilateral exchange irate volatility

• 成果类型: Article; Proceedings Paper
• 署名作者: Devereux, MB; Lane, PR
• 署名单位: University of British Columbia; Trinity College Dublin; Trinity College Dublin
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00061-2
• 发表日期: 2003
• 页码: 109-132
• 关键词: exchange rate volatility; Optimal currency area; financing constraints

摘要

This paper develops an empirical model of bilateral exchange rate volatility. We conjecture that for developing economies, external financial liabilities have an important effect on desired bilateral exchange rate volatility, above and beyond the standard optimal currency area (OCA) factors. By contrast, industrial countries do not face the same set of constraints in international financial markets. In our theoretical model, external debt tightens financial constraints and reduces the efficiency of the exchange rate in responding to external shocks. We go on to explore the determinants of bilateral exchange rate volatility in a broad cross section of countries. For developing economies, bilateral exchange rate volatility (relative to creditor countries) is strongly negatively affected by the stock of external debt. For industrial countries however, OCA variables appear more important and external debt is generally not significant in explaining bilateral exchange rate volatility. (C) 2002 Elsevier Science B.V. All rights reserved.