Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3435
Title: Sources of real exchange rate volatility and international financial integration: A dynamic GMM panel data approach
Authors: Caporale, GM
Amor, TH
Rault, C
Keywords: Emerging economies; real exchange rate; volatility; financial integration; GMM method; dynamic panel
Issue Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Discussion Paper, Brunel University, 09-21.
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.
URI: http://bura.brunel.ac.uk/handle/2438/3435
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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