Explaining real exchange rate fluctuations
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Amalia Morales-Zumaquero: University of Málaga and Centro de Estudios Andaluces, http://webdeptos.uma.es/THEconomica/wpchica.htm
Journal of Applied Economics, 2006, vol. IX, pages 345-360
This paper attempts to explain the sources of real exchange rate fluctuations for a set of advanced economies and Central and Eastern European transition economies. To that end, we first estimate structural (identified) vector autoregression (SVAR) models, and decompose real and nominal exchange rate movements into those caused by real and nominal shocks. We then complete the previous step with an impulse-response analysis. There is evidence of instability in the variance decomposition of the real exchange rates for advanced economies across samples, with a growing importance of nominal shocks. Nominal shocks are also important in some transition economies.
Keywords: real and nominal exchange rates; real and nominal shocks; SVAR models; advanced economies; transition economies (search for similar items in EconPapers)
JEL-codes: C50 F31 P52 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:cem:jaecon:v:9:y:2006:n:2:p:345-360
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