Exchange rate risk under generalized floating: Eight Asian countries |
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Authors: | Pradumna B Rana |
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Institution: | Tribhuvan University, Kathmandu, Nepal |
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Abstract: | This paper examines whether exchange rate risk (defined as the variability of nominal and real effective exchange rates) has increased in the present system of generalized floating for eight Asian developing countries. The first major finding is that the samples of effective exchange rates conform better to non-normal stable Paretian distributions than normal ones; sample standard deviation in therefore an erratic and misleading measure of variability. The second is that the scale and Gini's mean difference measures of variability indicate that exchange rate risk has increased substantially — in nominal terms more than in real terms and in the short run more than in the longer run. |
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