publication . Preprint . Report . 2005

Effective Exchange Rate Classifications and Growth

Justin Dubas; Byung-Joo Lee; Nelson Mark;
Open Access
  • Published: 01 Apr 2005
Abstract
We propose an econometric procedure for obtaining de facto exchange rate regime classifications which we apply to study the relationship between exchange rate regimes and economic growth. Our classification method models the de jure regimes as outcomes of a multinomial logit choice problem conditional on the volatility of a country's effective exchange rate, a bilateral exchange rate and international reserves. An `effective' de facto exchange rate regime classification is then obtained by assigning country-year observations to the regime with the highest predictive probability obtained from the estimation problem. An econometric investigation into the relations...
Subjects
free text keywords: jel:F30, jel:F31, jel:F41, Interest rate parity, Exchange-rate regime, Economics, Multinomial logistic regression, Financial economics, Choice problem, Effective exchange rate, Exchange rate, Econometrics, De facto, Volatility (finance)
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publication . Preprint . Report . 2005

Effective Exchange Rate Classifications and Growth

Justin Dubas; Byung-Joo Lee; Nelson Mark;