Arbeitspapier
Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices
This study evaluates the individual roles of monetary and productivity shocks in real exchange rate fluctuations under the current float. Using a cointegration model of exchange rates and relative prices, the innovations are decomposed into transitory and common-trend parts. Both transitory and common-trend innovations are found to explain a significant portion of real exchange rate fluctuations, albeit their relative importance can vary across major currencies. Further analysis suggests that common-trend innovations are ascribed mostly to productivity shocks, whereas transitory innovations are governed by monetary shocks. The allowance for productivity shocks, however, appears insufficient to fully explain the high persistence of real exchange rates.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2000:4
- Klassifikation
-
Wirtschaft
Foreign Exchange
Open Economy Macroeconomics
- Thema
-
Real exchange rate
real shock
monetary shock
transitory component
common trend
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bergman, Michael
Cheung, Yin-Wong
Lai, Kon S.
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Bergman, Michael
- Cheung, Yin-Wong
- Lai, Kon S.
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2000
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