We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

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...

This paper reviews the evolution of China`s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...

This study investigates the impacts of public expenditure innovations on exchange rate volatility in South Africa using quarterly data for the period 1970-2019. To achieve this objective, a version of the vector autoregressive impulse response model proposed by Jordà is employed and the...

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVAR model is applied to measure empirically the effect of the conditional exogenous exchange rate...

The article provides estimates of short-run and medium-run exchange rate pass-through into domestic prices in Russia during the period of 2000–2012 using vector error correction model. Exchange rate pass-through asymmetry estimates, its assessments on different sub-periods and exchange rate...

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...

Using a sample of 110 developed and developing countries for the period 1990-2004, this paper analyzes the characteristics of systemic sudden stops (3S) in capital flows and the relevance of balance-sheet effects in the likelihood of their materialization. A small supply of tradable goods...