✦ LIBER ✦

Real exchange rate fluctuations and monetary shocks: a revisit

✍ Scribed by Shiu-Sheng Chen

Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 111 KB
Volume: 9
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.218

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

In this paper, I first estimate a structural VAR model by following Clarida and Gali (1994) and obtain results indicating that the variance of real exchange rates can be attributed more to monetary shocks when the sample span is extended. In order to further investigate this aspect, I then employ a VAR model with long‐run US–UK annual data from 1889 to 1995. According to the variance decompositions, I find that monetary shocks can explain nearly 50% of real exchange rate variance in the long‐run sample periods. All the evidence suggests that monetary shocks are indeed more important in a larger sample set. Copyright © 2003 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

Can non-linear real shocks explain the p

Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

✍ Tuomas A. Peltonen; Adina Popescu; Michael Sager 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 1 views

A core stylized fact of the empirical exchange rate literature is that half-life deviations of equilibrium real exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this persistence typically proceed along two distinct paths, resorting

Can panel data really improve the predic

Can panel data really improve the predictability of the monetary exchange rate model?

✍ Joakim Westerlund; Syed A. Basher 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 155 KB

## Abstract A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange rates is that conventional time series tests may have low power, and that panel data should generate more powerful tests. This paper provides an extensive evaluation of th

REAL EXCHANGE RATE DYNAMICS IN TRANSITIO

REAL EXCHANGE RATE DYNAMICS IN TRANSITION ECONOMIES: A NONLINEAR ANALYSIS

✍ Salah A. Nusair 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 217 KB 👁 1 views

## ABSTRACT This article examines the behaviour of the real exchange rates for 18 transition economies using nonlinear models. We find strong evidence of nonlinearities in 16 of the 18 countries. Contrary to widely held belief that the behaviour of real exchange rates should exhibit symmetrical adj

A non-linear model of the real US/UK exc

A non-linear model of the real US/UK exchange rate

✍ John Creedy; Jenny Lye; Vance L. Martin 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 1018 KB

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shape

International real interest rate differe

International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum

✍ Mark P. Taylor; Lucio Sarno 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 115 KB 👁 1 views

## Abstract According to one strand of the international finance literature, market efficiency implies that the real exchange rate follows a martingale process, in direct conflict with the long‐run absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.

A general equilibrium analysis of foreig

A general equilibrium analysis of foreign direct investment and the real exchange rate

✍ Milind M. Shrikhande 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 177 KB 👁 1 views

## Abstract Modern theories of foreign direct investment claim that foreign direct investment occurs because certain domestic assets are worth more under foreign control. This view developed by industrial organization theorists is indifferent to the financing mode of a foreign acquisition as well a