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Article
Exchange Rate Regimes and Uncertainty
Review of World Economics (Weltwirtschaftliches Archiv)
  • Tony Caporale, University of Dayton
  • Khosrow Doroodian, Ohio University - Main Campus
Document Type
Article
Publication Date
9-1-1995
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
Peer Reviewed
Yes
Citation Information
Tony Caporale and Khosrow Doroodian. "Exchange Rate Regimes and Uncertainty" Review of World Economics (Weltwirtschaftliches Archiv) Vol. 131 Iss. 3 (1995)
Available at: http://works.bepress.com/tony_caporale/9/