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Exchange Rate Volatility Before and After the Float

Authors


  • The authors are grateful to David Greenaway, the editor of The World Economy for constructive help and comments. The authors are also grateful to Harry Bloch, Paul Miller, Felix Chan and Ellen Young for useful suggestions; and to Curtin Business School for financial support.

Abstract

This paper provides a descriptive analysis of broad features of major exchange rates since the early 1970s and compares these features with those of the 1960s. The analysis is then extended to investigate whether these features are manifested in interest rates and in commodity prices. The results indicate that while the exchange rates have become more volatile during the current floating rate regime, the moments are comparable with those for interest rates and commodity prices.

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