How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States

Almuth Scholl, Müller, Gernot and Zeno Enders
Authors registered in the RePEc Author Service: Gernot J. Müller

No 7732, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive robust restrictions on the sign of several impulse responses from a two-country general equilibrium model. We find that both the real exchange rate and the terms of trade --whose responses are left unrestricted -- depreciate in response to expansionary government spending shocks and appreciate in response to positive technology shocks.

Keywords: Government spending shocks; International transmission mechanism; Real exchange rate; Sign restrictions; Technology shocks; Terms of trade; Var (search for similar items in EconPapers)
JEL-codes: E32 F41 F42 (search for similar items in EconPapers)
Date: 2010-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Journal Article: How do fiscal and technology shocks affect real exchange rates?: New evidence for the United States (2011)
Working Paper: How do fiscal and technology shocks affect real exchange rates? New evidence for the United States (2008)
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