Managed float regime

Abstract: This paper investigated the volatility of Naira/Dollar exchange rates in Nigeria using GARCH (1,1), GJR-GARCH(1,1), EGARCH(1,1), APARCH(1,1), IGARCH(1,1) and TS-GARCH(1,1) models. Using monthly data over the period January 1970 to December 2007, Volatility persistence and asymmetric properties are investigated for the Nigerian foreign exchange. The impact of the deregulation of Foreign exchange market on volatility was investigated by presenting results separately for the period before deregulation, Fixed exchange rate period (January 1970August 2006) and managed float regime (September 2006 December 2007). The results from all the models show that volatility is persistent. The result is the same for the fixed exchange rate period and managed float rate regime. The results from all the asymmetry models rejected the hypothesis of leverage effect. This is in contrast to the work of Nelson (1991). The APARCH model and GJR-GARCH model for the managed floating rate regime show the existence of statistically significant asymmetry effect. The TSGARCH and APARCH models are found to be the best models.

Abstract: We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning between the two regimes. We find that after the transition from managed to independent float regime the changes in multifractal spectrum (position of maximum and width) indicate an increase in market efficiency. The observed changes are more pronounced for developed countries that have a well established trading market. After shuffling the series, we find that the multifractality is due to both probability density function and long term correlations for managed float regime, while for independent float regime multifractality is in most cases caused by broad probability density function.

Abstract: This paper examines the key characteristics of Singapore's exchange rate-centered monetary policy; in particular, its managed float regime which incorporates key features of the basket, band and crawl system popularized by Williamson (1998, 1999). We assess how the flexibility accorded by this framework has been advantageous in facilitating adjustment to various shocks to the economy. A characterization of the countercyclical nature of Singapore's exchange rate policy is also offered, with reference to recent work on the monetary policy reaction function and estimates of Singapore's behavioral equilibrium exchange rate. We also review previous econometric analysis which provides evidence that Singapore's managed float system may have helped to mitigate the spillover effects of such increased volatility into the real economy. The track record of Singapore's managed float regime over the past two decades suggests that intermediate regimes are a viable alternative to the so-called "corner solutions", especially when supported by consistent macroeconomic and microeconomic policies as well as strong institutions.