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On the nature of shocks driving exchange rates in emerging economies
Kolev, Galina V. - 2015
The paper analyzes the sources of exchange rate movements in emerging economies in the context of monetary tapering by the Federal Reserve. A structural vector autoregression framework with a long-run restriction is used to decompose the movements of nominal ex-change rates into two components:...
Persistent link: https://www.econbiz.de/10011374055
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Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10011473872
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The Sources of Real Exchange Rate Fluctuations in Pakistan
Khan, Muhammad Luqman - 2010
This study examines the sources of real exchange rate fluctuations in Pakistan and use the SVAR (Structure Vector Autoregressive) technique to analysis the impact of different macroeconomics shocks for fluctuation in real exchange rate of Pak rupee. According to Blanchard and Quah (1999), the...
Persistent link: https://www.econbiz.de/10013137655
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Are US-Dollar-Hedged-ETF Investors Aggressive on Exchange Rates? A Panel VAR Approach
Shank, Corey A. - 2017
Exchange traded funds (ETFs) are a multi-trillion dollar market that epitomizes financialization due to its recent growth. This study examines the behavior of U.S. listed currency hedged ETF investors towards changes in the underlying benchmark and foreign exchange rate from July 2011 to...
Persistent link: https://www.econbiz.de/10012969245
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The Source of Real and Nominal Exchange Rate Fluctuations in Thailand : Real Shock or Nominal Shock
Le, Binh - 2015
This paper examines the source of exchange rate fluctuations in Thailand. We employed a structural vector auto-regression (SVAR) model with the long-run neutrality restriction of Blanchard and Quah (1989) to investigate the changes in real and nominal exchange rates from 1994 to 2015. In this...
Persistent link: https://www.econbiz.de/10013016755
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An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach
Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16
years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on … indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the … last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal …
Persistent link: https://www.econbiz.de/10012795308
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Asset Prices, Real Exchange Rate and Current Account Fluctuations : Some Structural VAR Evidence for Thailand
Jiranyakul, Komain - 2017
This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...
Persistent link: https://www.econbiz.de/10012967437
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Is the floating exchange rate a shock absorber in Albania? : evidence from SVAR models
Miteza, Ilir; Tanku, Altin; Vika, Ilir - In: Economic change & restructuring 56 (2023) 2, pp. 1297-1326
Persistent link: https://www.econbiz.de/10014252490
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Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR
Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10008901483
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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10013130602