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Sources of exchange rate fluctuations: empirical evidence from six emerging market countries

  • Ibrahim Chowdhury

This paper investigates sources of fluctuations in real and nominal US dollar exchange rates of selected emerging market economies by decomposing the exchange rate series into stochastic components induced by real and nominal factors. The dynamic effects and relative importance of real and nominal shocks in explaining the behaviour of these exchange rates are analysed. The results indicate that real shocks dominate nominal shocks for the exchange rate series examined. In turn, these findings have important economic implications.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243538
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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 10 ()
Pages: 697-705

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:697-705
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