Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/52487
Authors: 
Caporale, Guglielmo Maria
Amor, Thouraya Hadj
Rault, Christophe
Year of Publication: 
2011
Series/Report no.: 
CESifo working paper: Trade Policy 3645
Abstract: 
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels over the period 1979-2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for volatility of real exchange rates in emerging economies, with international financial integration being a major driving force. Therefore, financial liberalisation and integration should be pursued only gradually in emerging countries.
Subjects: 
emerging economies
real exchange rate
volatility
financial integration
GMM method
dynamic panel
JEL: 
E31
F00
F31
C15
Document Type: 
Working Paper

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