Sources of Real and Nominal Exchange Rate Movements for the Euro

Shigeyuki Hamori and Naoko Hamori ()
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Naoko Hamori: University of Marketing and Distribution Sciences

Economics Bulletin, 2007, vol. 6, issue 32, 1-10

Abstract: We conducted an analysis on the sources of real and nominal exchange rate movements for the Euro, applying the SVAR methods of Enders and Lee (1997). In particular, our analysis focused on the robustness of the results by considering different combinations of data on nominal exchange rates and price indices. Our results showed that the shape of the impulse response function differs substantially depending on the case. In particular, we found that the important issue of whether the real exchange rate and nominal exchange rate overshoot depends on the index selected.

JEL-codes: F3 (search for similar items in EconPapers)
Date: 2007-08-20
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Citations: View citations in EconPapers (5)

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