From Fixed to Float: A Competing Risks Analysis

Chong, Terence Tai Leung and He, Qing and Chan, Wing Hong (2014): From Fixed to Float: A Competing Risks Analysis.

Abstract

This paper examines the determinants of exchange rate regime of a country. A competing risks model (CRM) is estimated. It is found that the way a country exits a fixed exchange rate regime is affected nonlinearly by the duration of the peg. In addition, countries with a lower growth rate of reserves, more incidences of banking crises, higher trade concentration and lower degree of capital-account liberalisation are more likely to have a crisis-driven exit.

• Item Type: MPRA Paper
• Language: English
• Keywords: Competing risks model; Duration dependence; Orderly exits; Crisis-driven exits; Kaplan-Meier estimators.
• Subjects: F - International Economics > F3 - International Finance > F31 - Foreign Exchange

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