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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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  1. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
  2. Patrick N. Osakwe & Lawrence L. Schembri, 1999. "Real Effects of Collapsing Exchange Rate Regimes: An Application to Mexico," Carleton Economic Papers 99-07, Carleton University, Department of Economics, revised Aug 2002.
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  8. Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "Targeting the real exchange rate," MPRA Paper 13765, University Library of Munich, Germany.
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  10. Martin D. Evans & James R. Lothian, 1992. "The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates," Working Papers 92-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  11. Jorge Roldos & Alexander W. Hoffmaister, 1996. "The Sources of Macroeconomic Fluctuations in Developing Countries; Brazil and Korea," IMF Working Papers 96/20, International Monetary Fund.
  12. Jeffrey Sachs & Aaron Tornell & Andres Velasco, 1996. "The Mexican Peso Crisis: Sudden Death or Death Foretold?," NBER Working Papers 5563, National Bureau of Economic Research, Inc.
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