Abstract EN:

The financial crises in 1990s have highlighted the vulnerability of intermediate exchange rate regimes and floating exchange regime emerged as the only viable option for emerging economies. However, despite the formal adoption of floating exchange regime, emerging economies have implemented a monetary policy of exchange rate stabilization, ensuring, de facto, the survival of intermediate exchange rate regimes, through fear of floating. This thesis examines, by the analysis of the relationship between domestic monetary policy and the exchange rate volatility in emerging economies, the nature of intermediate regimes de facto. Chapter 1 deals with the problem of the choice of exchange rate regime, and the reasons for the survival of intermediate exchange rate regimes. Chapter 2 presents the problem of inflation targeting as a nominal anchor in the formal floating exchange rate regime, and potential conflicts between the inflation targeting and the exchange rate stabilization policy. Chapter 3 highlights the vulnerabilities (pass-through, original sin) of emerging economies streamlining the fear of floating and also throws the light on the effectiveness of the policy interest rate to stabilize the exchange rate. Chapter 4 constitutes the base of an empirical analysis of exchange rate volatility in a sample of 20 emerging economies over the period 1994-2008, examining the characteristics of daily series of exchange rate return through the ARMA and GARCH models. Chapter 5 tests the effect on the exchange rate volatility of the two dimensions of monetary policy (volatility and level of interest rates). The tests indicate that exchange rate volatility depends negatively on the volatility of interest rates but positively on the level of that rate. In other words, stabilization exchange rate monetary policy is on the razor's edge, about its effect on the exchange rate volatility