What happens when the Kiwi flies? The sectoral effects of the exchange rate shocks

Ozer Karagedikli, Michael Ryan, Daan Steenkamp and Tugrul Vehbi ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We estimate a Factor Augmented Vector autoregression (FAVAR) to identify idiosyncratic exchange rate shocks and examine the effects of these shocks on different sectors of the economy. We find that an unexpected shock to the exchange rate has significant effects on the tradable sector of the economy. While this is expected, the nontradable sectors of the economy are also influenced by shocks to exchange rate. We argue that one important channel for this influence is the endogenous/cyclical nature of the population dynamics due to permanent and long term migration.

JEL-codes: C22 C32 E21 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-11
New Economics Papers: this item is included in nep-cba and nep-mac
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Citations: View citations in EconPapers (9)

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Working Paper: What happens when the Kiwi flies? Sectoral effects of the exchange rate shocks (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2013-73

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