International Fisher Effect under Exchange Rate Regime Shifts: Evidence from 10 Examples

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F13%3A00200638" target="_blank" >RIV/62156489:43110/13:00200638 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1556/SocEc.35.2013.4.2" target="_blank" >http://dx.doi.org/10.1556/SocEc.35.2013.4.2</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1556/SocEc.35.2013.4.2" target="_blank" >10.1556/SocEc.35.2013.4.2</a>

Result language
angličtina
Original language name
International Fisher Effect under Exchange Rate Regime Shifts: Evidence from 10 Examples
Original language description
Amonetary union is classified by several authors as an extreme form of fixed exchange rate arrangement.Analyzing exits from monetary unions is, however, demanding. This paper studies the impact of inflation and interest rate differentials on the nominalexchange rate after leaving a form of peg arrangement and moving to a floating regime, as it may serve as a parallel for a monetary union break-up. The theoretical framework is provided by the theory of the International Fisher Effect. We find that countries with rigid exchange rate policy, less frequently adjusted central parity and narrow exchange rate bands experienced sharp depreciation after the shift, but the depreciation was only temporary. In this group of countries the exchange rate adjustmentis weakly exogenous to inflation and interest rate differentials. We apply Johansen's approach to cointegration, based on the estimation of the Vector Error Correction Model, and the Johansen constraint test of exogeneity. There is strong
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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