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Sensibilité du taux de change aux chocs monétaires et budgétaires. Une analyse en termes de VAR des fluctuations euro/dollar

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  • Christophe Blot

Abstract

The aim of the paper is to provide an empirical analysis of the euro/dollar exchange rate response to monetary and fiscal shocks. We pay a large attention to the transmission channels and try to discriminate between several approaches using VAR models estimates. It is showed that fiscal and monetary tightening are followed by an appreciation of the euro. These results are robust to a sensitivity analysis. Nevertheless, the delayed overshooting generally put forward depends on the identification scheme. One can indeed find a structural decomposition where the peak exchange rates effect of monetary shocks comes immediately after the shock. Finally, even if transmission of fiscal shocks remains ambiguous, the asset?s view seems to be the most reliable explanation.

Suggested Citation

  • Christophe Blot, 2005. "Sensibilité du taux de change aux chocs monétaires et budgétaires. Une analyse en termes de VAR des fluctuations euro/dollar," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 287-315.
    • Handle: RePEc:cai:reofsp:reof_093_0287
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