This paper employs structural vector autoregression methods to examine the contribution of real and nominal shocks to real exchange rate movements using two hundred and seventeen years of data from Britain and the United States. Shocks are identified with long-run restrictions. The long time...

This paper makes use of long-run restrictions to identify macroeconomic shocks and evaluate their relative importance for exchange rate fluctuations. Unlike previous studies that employ a similar approach, I consider a large eight variable vector autoregressive system that includes short term...

This paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations to monetary policy account for a sizable share of the co-movement of...