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Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility
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Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility
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Journal Article
Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility
2017
Overview
This paper revisits the claim that flexible exchange rates facilitate external adjustment. While previous studies have used exchange rate regime as a proxy for exchange rate flexibility, in this study there is evidence of ARCH effects in exchange rate, and thus GARCH models are employed to estimate volatility. A dynamic panel data model is then specified, and the Arellano-Bond estimator and the Blundell-Bond estimator are employed to estimate the effect of exchange rate flexibility on the speed of adjustment of current account in a panel of 28 emerging and developing economies. There is robust evidence that flexible exchange rates indeed facilitate smoother adjustment of current account imbalances.
Publisher
Springer Berlin Heidelberg,Springer,Springer Nature B.V
