Advanced Search
MyIDEAS: Login to save this paper or follow this series

Common Stochastic Trends and Policy Shocks in the Open Economy: Empirical Essays in International Finance and Monetary Policy


Author Info

  • Kumah, F.Y.

    (Tilburg University)

Registered author(s):


    Abstract: The demise of the Bretton Woods system of pegged exchange rates in the early 1970s gave birth to a number of theoretical and empirical research aimed at explaining the observed volatility of exchange rates and fluctuations in the current accounts of nations. Also, the early 1980s witnessed the world economy plagued by large and uncoordinated innovations in monetary and fiscal variables as well as by high and volatile real interest rates and exchange rate misalignments - i.e. the tendency for the real exchange rate movements to diverge from the long run equilibrium path as measured by relative purchasing power parity. The juxtaposition of these events led to a surge of scientific investigations which up to now, however, have not resolved the existing puzzles in a satisfactory way. This dissertation contributes to this literature on empirical international finance by introducing and using new empirical methods in identifying productivity shocks and monetary policy shocks. The shocks so identified are then used in explaining observed exchange rate and current account fluctuations. The rationale of the studies conducted is to blend international monetary theory with modern time series analysis in an attempt to contribute to our understanding of the current international monetary system. In particular, this dissertation presents empirical analysis on the effects of productivity and policy shocks on capital flows and bilateral exchange rate fluctuations using modern time series methods, and takes a step towards a deeper understanding of the observed phenomena.

    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:
    Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Economists Online Support)
    Download Restriction: no

    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-74321.

    as in new window
    Length: 207
    Date of creation: 1997
    Date of revision:
    Publication status: Published
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-74321

    Note: Dissertation
    Contact details of provider:
    Web page:

    Related research



    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. Eichenbaum, Martin & Evans, Charles L, 1995. "Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 110(4), pages 975-1009, November.
    2. Martin S. Feldstein, 1986. "The Budget Deficit And The Dollar," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1986, Volume 1, pages 355-409 National Bureau of Economic Research, Inc.
    3. William H. Branson & James Love, 1988. "U.S. Manufacturing and the Real Exchange Rate," NBER Chapters, National Bureau of Economic Research, Inc, in: Misalignment of Exchange Rates, pages 241-276 National Bureau of Economic Research, Inc.
    4. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
    5. Nakibullah, Ashraf, 1993. "Comovements of Budget Deficits, Exchange Rates, and Outputs of Traded and Non-traded Goods," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 31(2), pages 298-313, April.
    6. Baxter, Marianne & Stockman, Alan C., 1989. "Business cycles and the exchange-rate regime : Some international evidence," Journal of Monetary Economics, Elsevier, Elsevier, vol. 23(3), pages 377-400, May.
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
    8. Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 99(395), pages 113-25, Supplemen.
    Full references (including those not matched with items on IDEAS)



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


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-74321. See general information about how to correct material in RePEc.

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

    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.