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Sources of Real and Nominal Exchange Rate Movements for the Euro

Author

Listed:
  • Shigeyuki Hamori

    (Kobe University)

  • Naoko Hamori

    (University of Marketing and Distribution Sciences)

Abstract

We conducted an analysis on the sources of real and nominal exchange rate movements for the Euro, applying the SVAR methods of Enders and Lee (1997). In particular, our analysis focused on the robustness of the results by considering different combinations of data on nominal exchange rates and price indices. Our results showed that the shape of the impulse response function differs substantially depending on the case. In particular, we found that the important issue of whether the real exchange rate and nominal exchange rate overshoot depends on the index selected.

Suggested Citation

  • Shigeyuki Hamori & Naoko Hamori, 2007. "Sources of Real and Nominal Exchange Rate Movements for the Euro," Economics Bulletin, AccessEcon, vol. 6(32), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-07f30008
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    References listed on IDEAS

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    5. Rogers, John H., 1999. "Monetary shocks and real exchange rates," Journal of International Economics, Elsevier, vol. 49(2), pages 269-288, December.
    6. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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    Cited by:

    1. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169, January.
    2. Muhammad Nasir & Wasim Malik, 2011. "Structural Decomposition of Exchange Rate Shocks in Pakistan: An Empirical Investigation using SVAR Methodology," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(1), pages 124-138, September.
    3. 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.
    4. K. Rajmund MIRDALA, 2012. "Sources Of Exchange Rate Volatility In The European Transition Economies. Effects Of Economic Crisis Revealed," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 270-282.

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