The Effect of Capital Controls on Exchange Rate Risk

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dc.contributor.author VERSTEEG, Roald
dc.contributor.author STRAETMANS, Stefan
dc.date.accessioned 2010-10-19T15:43:03Z
dc.date.available 2010-10-19T15:43:03Z
dc.date.issued 2010
dc.identifier.issn 1830-7728
dc.identifier.uri http://hdl.handle.net/1814/14735
dc.description.abstract Many countries try to smooth their exchange rate movements by means of capital controls or otherwise. By the use of statistical extreme value analysis, we investigate if capital controls succeed in lowering foreign exchange rate (forex) volatility. We define forex volatility as the risk of extreme depreciations. For a sample of developed and emerging markets we find that capital controls are not effective in reducing this extreme depreciation risk. On the contrary, extreme depreciation risk is almost twice as high compared to an exchange rate regime without capital controls. en
dc.language.iso en en
dc.relation.ispartofseries EUI MWP;2010/33
dc.subject Capital controls en
dc.subject Exchange Rates en
dc.subject Extreme Value Theory en
dc.subject Exchange rate risk en
dc.subject Extreme quantiles en
dc.subject F21 en
dc.subject F31 en
dc.title The Effect of Capital Controls on Exchange Rate Risk en
dc.type Working Paper en


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