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dc.contributor.authorVERSTEEG, Roald
dc.contributor.authorSTRAETMANS, Stefan
dc.date.accessioned2010-10-19T15:43:03Z
dc.date.available2010-10-19T15:43:03Z
dc.date.issued2010
dc.identifier.issn1830-7728
dc.identifier.urihttp://hdl.handle.net/1814/14735
dc.description.abstractMany 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.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI MWP;2010/33
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCapital controlsen
dc.subjectExchange Ratesen
dc.subjectExtreme Value Theoryen
dc.subjectExchange rate risken
dc.subjectExtreme quantilesen
dc.subjectF21en
dc.subjectF31en
dc.titleThe Effect of Capital Controls on Exchange Rate Risken
dc.typeWorking Paperen
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