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Une analyse économétrique des sources de fluctuations du taux de change réel dans trois pays en développement. Le cas du Maroc, des Philippines et de l'Uruguay

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  • Imed Drine
  • Christophe Rault

Abstract

In this paper we estimate a structural var model for Morocco, Philippines and Uruguay and carry out the conventional inpulse response function analysis and variance decomposition of forecast errors. Our empirical investigations suggest that domestic shocks dominate real exchange rate fluctuations and that the contribution of external shocks, although significant, is of a smaller magnitude. Besides, the low contribution of the nominal shock put into questions monetary policies whose goal is to promote competitiveness through a currency devaluation. Moreover, our estimations confirm that the real exchange rate is also affected by shocks on the foreign interest rate that are likely to make it diverge from its equilibrium level. Classification JEL : E31, F0, F31, C15.

Suggested Citation

  • Imed Drine & Christophe Rault, 2009. "Une analyse économétrique des sources de fluctuations du taux de change réel dans trois pays en développement. Le cas du Maroc, des Philippines et de l'Uruguay," Revue économique, Presses de Sciences-Po, vol. 60(6), pages 1421-1453.
  • Handle: RePEc:cai:recosp:reco_606_1421
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    1. repec:kap:iaecre:v:23:y:2017:i:2:d:10.1007_s11294-017-9635-y is not listed on IDEAS

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F0 - International Economics - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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