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Shock monetari e reali, ciclo economico e valore dell' euro

  • Renato Filosa

    ()

    (Banca dei Regolamenti Internazionali, Dipartimento Monetario ed Economico, Basilea (Svizzera))

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    The appreciation of the dollar in the aftermath of the euro launch came as a surprise to most observers; furthermore, the traditional models fail to capture its dynamics. Is this a confirmation of Mussa's, Meese's and Rogoff's results, according to which no structural model can perform better than a random walk? More optimistically, this study shows that a structural VAR model of the Mundell-Fleming type satisfactorily explains the behaviour of the euro and its relationships with the fundamentals. My estimates indicate that dollar appreciation is primarily due to the cyclical strength of US demand. By contrast, they do not support the often-voiced theory that dollar appreciation is to be accounted for with the "new economy." Finally, the model shows that monetary shocks have limited effects on the exchange rate and very strong effects on inflation. This justifies the emphasis placed by central banks on the pursuit of internal objectives rather than exchange rate stability.

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    File URL: http://ojs.uniroma1.it/index.php/monetaecredito/article/view/9811/9696
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    Article provided by Economia civile in its journal Moneta e Credito.

    Volume (Year): 56 (2003)
    Issue (Month): 223 ()
    Pages: 295-324

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    Handle: RePEc:psl:moneta:2003:32
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    8. Guy Meredith, 2001. "Why Has the Euro Been so Weak?," IMF Working Papers 01/155, International Monetary Fund.
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    14. Richard Meese & Kenneth Rogoff, 1983. "The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 67-112 National Bureau of Economic Research, Inc.
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    16. Gabriele Galati & Corrinne Ho, 2003. "Macroeconomic News and the Euro/Dollar Exchange Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(3), pages 371-398, November.
    17. Vincent Koen & Laurence Boone & Alain de Serres & Nicola Fuchs, 2001. "Tracking the Euro," OECD Economics Department Working Papers 298, OECD Publishing.
    18. Jonathan Coppel & Martine Durand & Ignazio Visco, 2000. "EMU, The Euro and The European Policy Mix," OECD Economics Department Working Papers 232, OECD Publishing.
    19. C. Fred Bergsten & John Williamson (ed.), 2003. "Dollar Overvaluation and the World Economy," Peterson Institute Press: All Books, Peterson Institute for International Economics, number sr16, March.
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    21. Mussa, Michael, 1986. "Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 117-214, January.
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