Advanced Search
MyIDEAS: Login

Monetary and real shocks, the business cycle and the value of the euro

Contents:

Author Info

  • Renato Filosa
Registered author(s):

    Abstract

    The appreciation of the dollar in the aftermath of the launch of the euro came as a surprise to most observers; furthermore, traditional models do not seem to be able to capture the fluctuations of the dollar/euro exchange rate. Is this a confirmation of earlier research according to which no structural model can explain exchange rate dynamics? More optimistically, this study shows that a structural VAR model of the Mundell-Fleming type well explains the behaviour of the euro and its relationships with the fundamentals. Our estimates indicate that the dollar appreciation is primarily due to the cyclical strength of US demand. By contrast, they do not support the often-voiced theory that the appreciation of the dollar is explained by the "new economy". Finally, the model shows that monetary shocks have limited effects on the exchange rate and very strong ones on inflation.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.bis.org/publ/work154.pdf
    File Function: Full PDF document
    Download Restriction: no
    File URL: http://www.bis.org/publ/work154.htm
    Download Restriction: no

    Bibliographic Info

    Paper provided by Bank for International Settlements in its series BIS Working Papers with number 154.

    as in new window
    Length: 29 pages
    Date of creation: Jun 2004
    Date of revision:
    Handle: RePEc:bis:biswps:154

    Contact details of provider:
    Postal: Centralbahnplatz 2, CH - 4002 Basel
    Phone: (41) 61 - 280 80 80
    Fax: (41) 61 - 280 91 00
    Email:
    Web page: http://www.bis.org/
    More information through EDIRC

    Related research

    Keywords: Monetary and real shocks; value of the euro;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Jonathan Coppel & Martine Durand & Ignazio Visco, 2000. "EMU, The Euro and The European Policy Mix," OECD Economics Department Working Papers 232, OECD Publishing.
    2. Carsten Detken & Alistair Dieppe & Jerome Henry & Frank Smets & Carmen Marin, 2002. "Model uncertainty and the equilibrium value of the real effective euro exchange rate," Working Paper Series 160, European Central Bank.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Renato Filosa, 2007. "Stress testing of the stability of the Italian banking system: a VAR approach," Heterogeneity and monetary policy 0703, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bis:biswps:154

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Timo Laurmaa).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.