Exchange Rate Regimes and Business Cycle Properties: Some Stylized Facts

Working Paper No. 1999.51

Posted: 4 Sep 2000

See all articles by Thepthida Sopraseuth

Thepthida Sopraseuth

Université du Maine; University of Angers - Centre d'Etudes Prospectives d'Economie Mathematique Appliquees a la Planification (CEPREMAP)

Abstract

This paper aims at measuring the robustness of Real Business Cycle international stylized facts across exchange rate regimes. I thus investigate the impact of the Bretton Woods System and the ERM on the business cycle regularities. Thanks to bootstrap techniques, I measure the accuracy of the statistics. While exchange rate variability is sensitive to the nature of the exchange rate regime, the volatility of macroeconomic fundamentals does not differ across exchange rate regimes. Moreover, there is evidence that fixed-rates enhance international comovement of ouput, consumption and investment.

JEL Classification: E32, F14, F31

Suggested Citation

Sopraseuth, Thepthida, Exchange Rate Regimes and Business Cycle Properties: Some Stylized Facts. Working Paper No. 1999.51. Available at SSRN: https://ssrn.com/abstract=217069

Thepthida Sopraseuth (Contact Author)

Université du Maine ( email )

72085 Le Mans Cedex 9
France

University of Angers - Centre d'Etudes Prospectives d'Economie Mathematique Appliquees a la Planification (CEPREMAP)

Ecole Normale Superieure
48 boulevard Jourdan
75014 Paris
France

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