The Duration of Fixed Exchange Rate Regimes

25 Pages Posted: 9 Oct 2005

See all articles by Sebastien Waelti

Sebastien Waelti

Swiss National Bank - International Research and Technical Assistance Division

Multiple version iconThere are 2 versions of this paper

Date Written: August 2005

Abstract

This paper studies the survival of fixed exchange rate regimes. The probability of an exit from a fixed exchange rate regime depends on the time spent within this regime. In such a context durations models are appropriate, in particular because of the possible non-monotonic pattern of duration dependence. Non-parametric estimates show that the pattern of duration dependence exhibits non-monotonic behaviour and that it differs across types of economies. This behaviour persists when we control for time-varying covariates in a proportional hazard specification. We conclude that how long a regime has lasted will affect the probability that it will end, in a non-monotonic fashion.

Keywords: Exchange rate regime, currency crisis, regime transition, duration models, survival analysis

JEL Classification: F30, F31, F41

Suggested Citation

Waelti, Sebastien, The Duration of Fixed Exchange Rate Regimes (August 2005). Available at SSRN: https://ssrn.com/abstract=813089 or http://dx.doi.org/10.2139/ssrn.813089

Sebastien Waelti (Contact Author)

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