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Sources of exchange rate fluctuations: empirical evidence from six emerging market countries

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  • Ibrahim Chowdhury

Abstract

This paper investigates sources of fluctuations in real and nominal US dollar exchange rates of selected emerging market economies by decomposing the exchange rate series into stochastic components induced by real and nominal factors. The dynamic effects and relative importance of real and nominal shocks in explaining the behaviour of these exchange rates are analysed. The results indicate that real shocks dominate nominal shocks for the exchange rate series examined. In turn, these findings have important economic implications.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 10 ()
Pages: 697-705

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:697-705

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  13. Hoffmaister, Alexander W. & Roldos, Jorge E., 2001. "The Sources of Macroeconomic Fluctuations in Developing Countries: Brazil and Korea," Journal of Macroeconomics, Elsevier, vol. 23(2), pages 213-239, April.
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Cited by:
  1. Seiha Ok & Makoto Kakinaka & Hiroaki Miyamoto, 2010. "Real Shock Or Nominal Shock? Exchange Rate Movements In Cambodia And Lao Pdr," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(04), pages 685-703.
  2. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series 3645, CESifo Group Munich.
  3. Santanu Chatterjee & Azer Mursagulov, 2012. "Fiscal Policy and the Real Exchange Rate," IMF Working Papers 12/52, International Monetary Fund.
  4. Agnieszka Stazka, 2006. "Sources of Real Exchange Rate Fluctuations in Central and Eastern Europe – Temporary or Permanent?," CESifo Working Paper Series 1876, CESifo Group Munich.
  5. Takeshi Inoue & Shigeyuki Hamori, 2009. "What Explains Real and Nominal Exchange Rate Fluctuations?: Evidence from SVAR Analysis for India," Economics Bulletin, AccessEcon, vol. 29(4), pages 2803-2815.
  6. Caporale, Guglielmo Maria & Ciferri, Davide & Girardi, Alessandro, 2011. "Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 709-723, September.
  7. K. Rajmund MIRDALA, 2012. "Sources Of Exchange Rate Volatility In The European Transition Economies. Effects Of Economic Crisis Revealed," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 270-282.

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