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REAL EXCHANGE RATE FLUCTUATIONS (real + exchange_rate_fluctuation)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

SOURCES OF REAL EXCHANGE RATE FLUCTUATIONS: EMPIRICAL EVIDENCE FROM NINE AFRICAN COUNTRIES

THE MANCHESTER SCHOOL, Issue 2009
A. H. AHMAD
We investigate the sources of real exchange rate fluctuations in a sample of nine African countries from 1980:01 to 2005:04, using a trivariate structural vector autoregression. The analysis is motivated by a stochastic sticky-price model from which three shocks are identified; demand, supply and monetary shocks. The results indicate that demand shocks are the predominant source of real exchange rate movements in these countries, although nominal shocks have also played a small but significant role in South Africa and Botswana, and supply shocks seem to be of some relevance for Algeria, Egypt and Tanzania. [source]

Exchange Rates and Prices: Sources of Sterling Real Exchange Rate Fluctuations 1973,94

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 4 2000
Mark S. Astley
We attempt to identify the sources of UK exchange rate and relative consumer price fluctuations by applying the Clarida and Gali (1994) extension of the Blanchard and Quah (1989) structural VAR method to UK data. We (r)nd that IS shocks underlay the majority of the variance of sterling real and nominal exchange rates. Aggregate supply (AS) shocks were the second most important source of such variations, while LM shocks played an extremely limited role. In contrast, the variance of UK relative consumer prices primarily reflected LM shocks. [source]

Real exchange rate fluctuations and monetary shocks: a revisit

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2004
Shiu-Sheng Chen
Abstract In this paper, I first estimate a structural VAR model by following Clarida and Gali (1994) and obtain results indicating that the variance of real exchange rates can be attributed more to monetary shocks when the sample span is extended. In order to further investigate this aspect, I then employ a VAR model with long-run US,UK annual data from 1889 to 1995. According to the variance decompositions, I find that monetary shocks can explain nearly 50% of real exchange rate variance in the long-run sample periods. All the evidence suggests that monetary shocks are indeed more important in a larger sample set. Copyright © 2003 John Wiley & Sons, Ltd. [source]

SOURCES OF REAL EXCHANGE RATE FLUCTUATIONS: EMPIRICAL EVIDENCE FROM NINE AFRICAN COUNTRIES

THE MANCHESTER SCHOOL, Issue 2009
A. H. AHMAD
We investigate the sources of real exchange rate fluctuations in a sample of nine African countries from 1980:01 to 2005:04, using a trivariate structural vector autoregression. The analysis is motivated by a stochastic sticky-price model from which three shocks are identified; demand, supply and monetary shocks. The results indicate that demand shocks are the predominant source of real exchange rate movements in these countries, although nominal shocks have also played a small but significant role in South Africa and Botswana, and supply shocks seem to be of some relevance for Algeria, Egypt and Tanzania. [source]