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Explaining real exchange rate fluctuations

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Author Info
Amalia Morales-Zumaquero (University of Málaga and Centro de Estudios Andaluces)
Abstract

This paper attempts to explain the sources of real exchange rate fluctuations for a set of advanced economies and Central and Eastern European transition economies. To that end, we first estimate structural (identified) vector autoregression (SVAR) models, and decompose real and nominal exchange rate movements into those caused by real and nominal shocks. We then complete the previous step with an impulse-response analysis. There is evidence of instability in the variance decomposition of the real exchange rates for advanced economies across samples, with a growing importance of nominal shocks. Nominal shocks are also important in some transition economies.

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File URL: http://www4.cema.edu.ar/pjae/m/134Morales200611
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Publisher Info
Article provided by Universidad del CEMA in its journal Journal of Applied Economics.

Volume (Year): IX (2006)
Issue (Month): (November)
Pages: 345-360
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Handle: RePEc:cem:jaecon:v:9:y:2006:n:2:p:345-360

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Related research
Keywords: real and nominal exchange rates; real and nominal shocks; SVAR models; advanced economies; transition economies;

Find related papers by JEL classification:
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
F31 - International Economics - - International Finance - - - Foreign Exchange
P52 - Economic Systems - - Comparative Economic Systems - - - Comparative Studies of Particular Economies

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This page was last updated on 2009-12-16.

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