The Effects of Nominal and Real Shocks on the Chilean Real Exchange Rate During the Nineties
AbstractUsing structural VARs identified with long-run restrictions, this paper evaluates the importance of nominal shocks and real disturbances on the Chilean real exchange rate (RER) during the nineties. Different estimations indicate that nominal disturbances account for about 30% of the variance of the forecast error of the RER in the short run. Positive nominal shocks produce an appreciation of RER that lasts five months. The effect of real shocks depends on the nature of the shocks. A positive productivity shock appreciates the real exchange rate while a positive expenditure shock causes a real depreciation of the currency. The historical decomposition of the RER does not show periods of large misalignment.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 220.
Date of creation: Aug 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-17 (All new papers)
- NEP-FIN-2003-08-17 (Finance)
- NEP-IFN-2003-08-17 (International Finance)
- NEP-RMG-2003-08-17 (Risk Management)
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"When Do Long-Run Identifying Restrictions Give Reliable Results?,"
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- 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.
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