Assessing the importance of global shocks versus country-specific shocks
A common assumption is that global shocks have little influence on current accounts, relative output levels, and real exchange rates. We use a four-variable structural VAR of the Sims-Bernanke type that allows us to obtain a global shock and three country-specific shocks. We find that global shocks explain sizable portions of real rate movements and bilateral current account balances. Our decomposition also allows us to measure the extent to which "third-country effects" are important in explaining bilateral real exchange rates and relative output levels.
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- Glick, Reuven & Rogoff, Kenneth, 1995.
"Global versus country-specific productivity shocks and the current account,"
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- Reuven Glick & Kenneth Rogoff, 1992. "Global versus country-specific productivity shocks and the current account," Working Papers in Applied Economic Theory 92-06, Federal Reserve Bank of San Francisco.
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- Reuven Glick & Kenneth Rogoff, 1992. "Global Versus Country-Specific Productivity Shocks and the Current Account," NBER Working Papers 4140, National Bureau of Economic Research, Inc.
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- Ng, Serena, 2003. "Can sticky prices account for the variations and persistence in real exchange rates?," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 65-85, February.
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- Hoffmann, Mathias, 2000. "The relative dynamics of investment and the current account in the G-7 economies," Discussion Paper Series In Economics And Econometrics 5, Economics Division, School of Social Sciences, University of Southampton.
- Nason, James M & Rogers, John H, 2002. "Investment and the Current Account in the Short Run and the Long Run," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(4), pages 967-986, November.
- James M. Nason & John H. Rogers, 1999. "Investment and the current account in the short run and the long run," International Finance Discussion Papers 647, Board of Governors of the Federal Reserve System (U.S.).
- Kwark, Noh-Sun, 1999. "Sources of international business fluctuations: Country-specific shocks or worldwide shocks?," Journal of International Economics, Elsevier, vol. 48(2), pages 367-385, August. Full references (including those not matched with items on IDEAS)
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