This paper investigates the joint dynamic response of the current account and the real exchange rate to permanent and temporary shocks using structural VAR models for seven developed and five developing countries. Due to the ambiguity of the unit roots test, model specification based on both...

This paper investigates the sources of movements of the yen-dollar exchange rate using a structural vector autoregression (VAR) with a combination of short-run and long-run zero restrictions. We find that real shocks dominate nominal shocks in explaining the exchange rate movements, with...

We estimate exchange rate pass-through (PT) into import, producer and consumer price indexes for nine OECD countries, using a method proposed by Uhlig (2005). In a Vector Autoregression (VAR) model, we identify the exchange rate shock by imposing restrictions on the signs of impulse responses...

The size effect can be attributed to the relative importance of growth options versus assets-in-place in total assets. By incorporating the changing trend of growth options over firm lifecycle into the dynamic investment model developed by Berk et al. (1999), this paper demonstrates that the...