Title: Is the exchange rate a shock absorber or a source of shocks? New empirical evidence
Authors: Farrant, K ×
Peersman, Gert #
Issue Date: Jun-2006
Publisher: Ohio state univ press
Series Title: Journal of money credit and banking vol:38 issue:4 pages:939-961
Abstract: This paper analyses the role of the real exchange rate in a structural vector autoregression framework for the United Kingdom. Euro area. Japan, and Canada vis-a-vis the United States. A new identification strategy is proposed building on sign restrictions. The results are compared to the benchmark conventional approach of Clarida and Gali (1994) based on long-run zero restrictions. Although the restrictions are derived from the same theoretical model, the results are strikingly different. In contrast to the benchmark model, an important role for nominal shocks in explaining real exchange rate fluctuations is found. Hence, the exchange rate can rather be considered as a source of shocks instead of a shock absorber.
ISSN: 0022-2879
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Department of Economics, Leuven - miscellaneous
× corresponding author
# (joint) last author

Files in This Item:

There are no files associated with this item.

Request a copy


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science