What Explains Real and Nominal Exchange Rate Fluctuations? Evidence from SVAR Analysis for India
AbstractThis study empirically analyzes the sources of the exchange rate fluctuations in India by employing the structural VAR model. The VAR system consists of three variables, i.e., the nominal exchange rate, the real exchange rate, and the relative output of India and a foreign country. Consistent with most previous studies, the empirical evidence demonstrates that real shocks are the main drives of the fluctuations in real and nominal exchange rates, indicating that the central bank cannot maintain the real exchange rate at its desired level over time.
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Bibliographic InfoPaper provided by Institute of Developing Economies, Japan External Trade Organization(JETRO) in its series IDE Discussion Papers with number 216.
Date of creation: Oct 2009
Date of revision:
Publication status: Published in IDE Discussion Paper. No. 216. 2009. 10
Postal: Publication Office, IDE 3-2-2 Wakaba, Mihama-ku, Chiba-shi, Chiba 261-8545 JAPAN
Other versions of this item:
- 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.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-27 (All new papers)
- NEP-CBA-2010-02-27 (Central Banking)
- NEP-CWA-2010-02-27 (Central & Western Asia)
- NEP-IFN-2010-02-27 (International Finance)
- NEP-MAC-2010-02-27 (Macroeconomics)
- NEP-MON-2010-02-27 (Monetary Economics)
- NEP-OPM-2010-02-27 (Open Economy Macroeconomic)
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