| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP969 |
| DP969 Shocks and the Viability of a Fixed Exchange Rate Commitment | |
| Torben M Andersen | |
| 发表日期 | 1994-06-30 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | This paper attempts to identify the sources of real exchange rate fluctuations since the collapse of the Bretton Woods period. We use a structural VAR model with recursive long-run restrictions to decompose the real exchange rate series into three components, associated with supply, demand and monetary shocks. Our estimates imply that monetary shocks account for a substantial fraction of the variability of both yen and Deutschmark real exchange rate variations against the dollar. Demand shocks appear as the largest source of real exchange rate fluctuations for all the currencies considered, while supply shocks seem to play a minor role. |
| 主题 | International Macroeconomics |
| 关键词 | Flexible exchange rates Permanent-transitory decompositions Real exchange rate fluctuations Structural var |
| URL | https://cepr.org/publications/dp969 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530108 |
| 推荐引用方式 GB/T 7714 | Torben M Andersen. DP969 Shocks and the Viability of a Fixed Exchange Rate Commitment. 1994. |
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