Do uncertainty and technology drive exchange rates?

Pablo Guerron

No 09-20, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: This paper investigates the extent to which technology and uncertainty contribute to fluctuations in real exchange rates. Using a structural VAR and bilateral exchange rates, the author finds that neutral technology shocks are important contributors to the dynamics of real exchange rates. Investment-specific and uncertainty shocks have a more restricted effect on international prices. All three disturbances cause short-run deviations from uncovered interest rate parity.

Keywords: Foreign exchange; Uncertainty; technological innovations (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-opm
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