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Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study
Author:
Mr. Jorge I Canales Kriljenko
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Mr. Karl F Habermeier
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Series:
IMF Working Papers
Volume/Issue:
Volume 2004: Issue 147
Language:
English
Publication Date:
01 Aug 2004
DOI:
https://doi.org/10.5089/9781451856767.001
ISBN:
9781451856767
ISSN:
1018-5941
Pages:
13
Keywords:
WP; exchange rate; exchange rate volatility; currency; market; dealer; nominal effective exchange rate
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2004: Issue 147