Karagedikli, Ozer; Ryan, Michael; Steenkamp, Daan; … - Crawford School of Public Policy, Australian National … - 2013
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...