A multinomial logit approach to exchange rate policy classification with an application to growth

B-Tier
Journal: Journal of International Money and Finance
Year: 2010
Volume: 29
Issue: 7
Pages: 1438-1462

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We model a country's de jure exchange rate policy as the choice from a multinomial logit response conditioned on the volatility of its bilateral exchange rate, the volatility of its international reserves, and the volatility of its effective exchange rate. The category with the highest predictive probability implied by the logit regressions serves as our de facto exchange rate policy. An empirical investigation into the relationship between the de facto classifications and GDP growth finds that growth is higher under stable currency-value policies. For non-industrialized countries, a more nuanced characterization of exchange rate policy finds that those who exhibit 'fear of floating' experience significantly higher growth.

Technical Details

RePEc Handle
repec:eee:jimfin:v:29:y:2010:i:7:p:1438-1462
Journal Field
International
Author Count
3
Added to Database
2026-01-25