Real Shock Or Nominal Shock? Exchange Rate Movements In Cambodia And Lao Pdr
AbstractThis paper studies sources of fluctuations in real and nominal US dollar exchange rates in Cambodia and Lao PDR by decomposing them into the components induced by real and nominal factors. These shocks affecting real and nominal exchange rates are identified by using a structural vector autoregression (SVAR) model with the long-run neutrality restriction of Blanchard and Quah (1989). The empirical analysis demonstrates that real shocks in direction of depreciation lead to real and nominal depreciation, while nominal shocks induce long-run nominal depreciation but real appreciation in the short-run. Several economic implications are also discussed.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.
Volume (Year): 55 (2010)
Issue (Month): 04 ()
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Other versions of this item:
- Seiha Ok & Makoto Kakinaka & Hiroaki Miyamoto, 2010. "Real Shock or Nominal Shock? Exchange Rate Movements in Cambodia and Lao PDR," Working Papers EMS_2010_05, Research Institute, International University of Japan.
- F30 - International Economics - - International Finance - - - General
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
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- Kubo, Koji, 2013. "Sources of fluctuations in parallel exchange rates and policy reform in Myanmar," IDE Discussion Papers 388, Institute of Developing Economies, Japan External Trade Organization(JETRO).
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