Are Flexible Exchange Rate Regimes more Volatile? Panel GARCH Evidence for the G7 and Latin America

2015 ◽  
Vol 19 (2) ◽  
pp. 297-308 ◽  
Author(s):  
Rodolfo Cermeño ◽  
María Eugenia Sanin
Keyword(s):  
Latin America ◽  
Exchange Rate ◽  
Exchange Rate Regimes ◽  
Flexible Exchange Rate ◽  
Panel Garch

scholarly journals What Drives Stops in Cross-Border Bond Flows?

2019 ◽  
Vol 11 (14) ◽  
pp. 3763
Author(s):  
Seung-Gwan Baek ◽  
Chi-Young Song
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Emerging Economies ◽  
Exchange Rate Regimes ◽  
Real Exchange Rates ◽  
Flexible Exchange Rate ◽  
Regression Method ◽  
Policy Implications ◽  
Capital Account ◽  
Cross Border

This paper empirically explores the determinants of stop episodes driven by bond flows using quarterly data from 38 economies over the period 1995–2011. Drastic bond-led stop episodes may greatly destabilize domestic financial markets and lead to financial crisis, threatening the sustainability of the financial system. Using the complementary log–log regression method, we found that bond-led stop episodes were associated with contagion and domestic factors rather than global factors. The results of our estimation showed that the probability of bond-led stop episodes was higher in countries with larger financial markets or with more overvalued real exchange rates. The main policy implications of our results, particularly for emerging economies, are that bond-led stop episodes were less likely to occur in countries with higher levels of institutional quality, lower capital account restrictions, or more flexible exchange-rate regimes. Finally, we found that capital control played a relatively greater role in predicting bond-led stops in emerging economies than did exchange-rate regimes.

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