Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study

By Jorge I Canales Kriljenko, Karl F Habermeier

August 1, 2004

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Jorge I Canales Kriljenko, and Karl F Habermeier. Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study, (USA: International Monetary Fund, 2004) accessed September 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

The paper examines factors affecting exchange rate volatility, with an emphasis on structural features of the foreign exchange regime. It draws for the first time on detailed survey data collected by the IMF on foreign exchange market organization and regulations. Key findings are that decentralized dealer markets, regulations on the use of domestic currency by nonresidents, acceptance of Article VIII obligations, and limits on banks' foreign exchange positions are associated with lower exchange rate volatility. The paper also provides support for earlier results on the influence of macroeconomic conditions and the choice of exchange rate regime on volatility.

Subject: Currencies, Currency markets, Exchange rate arrangements, Exchange rates, Foreign exchange

Keywords: Currency, Dealer, Exchange rate, Exchange rate volatility, Market, Nominal effective exchange rate, WP

Publication Details

Pages:

13
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2004/147
Stock No:

WPIEA1472004
ISBN:

9781451856767
ISSN:

1018-5941

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