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Macroeconomic Shocks in Euroland vs the UK: Supply, Demand, or Nominal?

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Michael Funke ()

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Abstract

The article uses a structural vector autoregressive (SVAR) model under some well agreed-on long-run neutrality assumption to identify relative supply, relative demand, and relative nominal shocks in Euroland vs. the UK. The empirical results indicate that most of the variation in relative output is caused by supply shocks while the shocks driving the real ECU exchange rate are mainly non-monetary demand shocks in nature. Therefore, the loss of the exchange rate as a shock absorber will not be great for the UK.

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File URL: http://www.rrz.uni-hamburg.de/wst/qmwps/qm200.doc
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Paper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 20001.

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Date of creation: Jan 2000
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Handle: RePEc:ham:qmwops:20001

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  1. S Barrios & M Brülhart & R J R Elliott & M Sensier, 2002. "A Tale of Two Cycles: Co-fluctuations Between UK Regions and the Euro Zone," Centre for Growth and Business Cycle Research Discussion Paper Series 03, Economics, The Univeristy of Manchester. [Downloadable!]
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  2. G. Peersman, 2005. "The relative importance of symmetric and asymmetric shocks and the determination of the exchange rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/286, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  3. Igor MASTEN, 2002. "How Important Is the Shock-Absorbing Role of the Real Exchange Rate?," Economics Working Papers ECO2002/06, European University Institute. [Downloadable!]
  4. Katie Farrant & Gert Peersman, . "Accounting for the source of exchange rate movements: new evidence," Bank of England working papers 269, Bank of England. [Downloadable!]
  5. Dermot Hodson, 2003. "The Exchange Rate as an Adjustment Mechanism - A Structural VAR Approach to the Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 34(2), pages 151-172. [Downloadable!]
  6. Artis, Michael J & Ehrmann, Michael, 2000. "The Exchange Rate - A Shock-Absorber or Source of Shocks? A Study of Four Open Economies," CEPR Discussion Papers 2550, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  7. K. Farrant & G. Peersman, 2005. "Is the exchange rate a shock absorber or a source of shocks? New empirical evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/285, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  8. Sfia, Mohamed Daly, 2006. "Tunisia: Sources Of Real Exchange Rate Fluctuations," MPRA Paper 3129, University Library of Munich, Germany. [Downloadable!]
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