Narrow search
Showing 1 - 10 of 208,037
Cover Image
Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...
Persistent link: https://www.econbiz.de/10010228330
Cover Image
Phillips curve shocks and real exchange rate fluctuations : SVAR evidence
Gehrke, Britta; Yao, Fang - 2014
Steinsson (2008) shows that real shocks that affect the New Keynesian Phillips curve explain the behavior of the real exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of the real exchange rate in the data. In a structural...
Persistent link: https://www.econbiz.de/10010400806
Cover Image
Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999 - 2000
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
Persistent link: https://www.econbiz.de/10001584428
Cover Image
Sources of real exchange rate fluctuations : the role of supply shocks revisited ; conference paper
Gehrke, Britta; Yao, Fang - 2013 - This version: August 2013
, we extend the concept of supply shocks beyond the productivity shock towards labor supply shocks. Our analysis …
Persistent link: https://www.econbiz.de/10010344601
Cover Image
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
Cover Image
Non-Traded Goods and Real Exchange Rate Fluctuations : A Structural VAR Analysis
Azcona, Nestor - 2016
Real exchange rate variance decompositions indicate that only a small fraction of real exchange rate movements can be attributed to changes in the relative price between traded and non-traded goods. This paper argues that those exercises, by ignoring the nature of the shocks behind real exchange...
Persistent link: https://www.econbiz.de/10012981318
Cover Image
The Impact of Real Exchange Rate on International Trade : Evidence From Panel Structural VAR Model
Aslan, Caglayan - 2020
This paper investigates the importance of real exchange rates on export volumes by estimating a panel SVAR model using quarterly unbalanced panel data from 21 emerging markets over the 2005:Q1-2018:Q4 period. Although the results suggest no conclusive evidence that real exchange rate shocks do...
Persistent link: https://www.econbiz.de/10012827070
Cover Image
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
Cover Image
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
Cover Image
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