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Pegging emerging currencies in the face of dollar
Virginie Coudert - Cécile Couharde - Valérie Mignon
eBook Edition: 2012

The aim of this paper is to study ruptures of exchange-rate pegs by focusing on the fluctuations of the anchor currency. We test for the hypothesis that currencies linked to the USD are more likely to loosen their peg when the USD is appreciating, while sticking to it otherwise. To this end, we estimate smooth-transition regression models for a sample of 28 emerging currencies over the 1994-2011 period. Our findings show that while the real effective exchange rates of most of these countries tend to co-move with that of the USD in times of depreciation, this relationship is frequently reversed when the US currency appreciates over a certain threshold. Such nonlinear effects are especially at stake in Asia where growth is export-oriented.(From Author)

eBook Contents


Non-technical summary - Abstract - Résumé non technique - Résumé court – Introduction - Ruptures of pegs and the role of the anchor currency - Empirical analysis - Conclusion - References - Appendix - List of working papers released by CEPII

eBook License: Copyrighted (Personal Use Only by downloading from CEPII)

Free PDF eBook - 309 Kb - 29 Pages
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