Sources of exchange rate fluctuations: Are they real or nominal?

Journal of International Money and Finance

Volumn 30, Issue 5, 2011, Pages 849-876

  Juvenal, Luciana ^a  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

Author keywords

Exchange Rates; Monetary Shocks; Real Shocks; Sign restrictions; Vector autoregression

Indexed keywords

EID: 79958263962     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2011.05.007     Document Type: Article

References (37)

1. Beaudry P., Devereux M.B. Money and the real exchange rate with sticky prices and increasing returns. Carnegie-Rochester Conference Series on Public Policy 1995, 43:55-102.
2. Bernard A.B., Eaton J., Jensen J.B., Kotrum S. Plants and productivity in international trade. American Economic Review 2003, 93:1268-1290.
3. Blanchard O., Quah D. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 1989, 79:655-673.
4. Canova F., De Nicolò G. Monetary disturbances matter for business fluctuations in the G-7. Journal of Monetary Economics 2002, 49:1131-1159.
5. Canova F., Pina J. Monetary policy misspecification in VAR models. CEPR 1999, Discussion Paper No 2333.
6. Chari V., Kehoe P., McGrattan E. Can sticky price models generate volatile and persistent real exchange rates?. Review of Economic Studies 2002, 69:533-563.
7. Chari V., Kehoe P., McGrattan E. Are structural VARs with long-run restrictions useful in developing business cycle theory? 2007, Federal Reserve Bank of Minneapolis, Staff report 364.
8. Christiano L.J., Eichenbaum M., Evans C.L. Monetary policy shocks: what have we learned and to what end?. Handbook of Macroeconomics 1999, Vol. 1A:65-148. Elsevier, Amsterdam, Ch. 2. J.B. Taylor, M. Woodford (Eds.).
9. Christiano L.J., Eichenbaum M., Vigfusson M. Assessing structural VARs. NBER Macroeconomics Annual 2006 2007, Vol. 21:1-72. D. Acemoglu, K. Rogoff, M. Woodford (Eds.).
10. Clarida R., Galí J. Sources of real exchange-rate fluctuations: how important are nominal shocks?. Carnegie-Rochester Conference Series on Public Policy 1994, 41:1-56.
11. Clarida R., Galí J., Gertler M. Monetary policy rules in practice: some international evidence. European Economic Review 1998, 42:1033-1067.
12. Corsetti G., Dedola L., Leduc S. International risk sharing and the transmission of productivity shocks. Review of Economic Studies 2008, 75:443-473.
13. Dornbusch R. Expectations and exchange rate dynamics. Journal of Political Economy 1976, 84:1161-1176.
14. Eichenbaum M., Evans C.L. Some empirical evidence on the effects of shocks to monetary policy on exchange rates. Quarterly Journal of Economics 1995, 110:975-1009.
15. Enders Z., Müller G.J., Scholl A. How do fiscal and technology shocks affect real exchange rates?. New evidence for the United States 2008, CFS working paper series 22.
16. Farrant K., Peersman G. Is the exchange rate a shock absorber or source of shocks? New empirical evidence. Journal of money, Credit and Banking 2006, 38:939-962.
17. Faust J. The robustness of identified VAR conclusions about money. Carnegie-Rochester Conference Series in Public Policy 1998, 49:207-244.
18. Faust J., Leeper E.M. When do long-run identifying restrictions give reliable results?. Journal of Business and Economic Statistics 1997, 15:345-353.
19. Faust J., Rogers J.H. Monetary policy's role in exchange rate behavior. Journal of Monetary Economics 2003, 50:1403-1424.
20. Ferrero A., Gertler M., Svensson L. Current account dynamics and monetary policy. International Dimensions of Monetary Policy 2009, Chicago University Press, Chicago. J. Gali, M. Gertler (Eds.).
21. Fry R., Pagan A. Some issues in using sign restrictions for identifying structural VARs 2007, National centre for econometric research, NCER working paper series 14.
22. Hooper P., Johnson K., Marquez J. Trade elasticities for the G-7 countries. Princeton Studies in International Economics 2000, 87.
23. Johansen S. Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica 1991, 59:1551-1580.
24. Kim S. Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries. Journal of International Economics 1999, 48:387-412.
25. Kim S., Roubini N. Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach. Journal of Monetary Economics 2000, 45:561-586.
26. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. Testing the null hypothesis of stationarity against the alternative of unit root: how sure are we that economic time series have a unit root?. Journal of Econometrics 1992, 54:159-178.
27. Obstfeld M., Rogoff K. The unsustainable U.S. current account position revisited. G7 Current Account Imbalances: Sustainability and Adjustment 2007, Chicago University Press, Chicago. R. Clarida (Ed.).
28. Paustian M. Assessing sign restrictions. B.E. Journal of Macroeconomics 2007, 7:1-31.
29. Peersman G. What caused the early millennium slowdown? Evidence based on vector autoregressions. Journal of Applied Econometrics 2005, 20:185-207.
30. Rogers J.H. Monetary shocks and real exchange rates. Journal of International Economics 1999, 49:269-288.
31. Rogoff K. The purchasing power parity puzzle. Journal of Economic Literature 1996, 34:647-668.
32. Sarno L., Thornton D.L. The efficient market hypothesis and identification in structural VARs 2004, Federal Reserve Bank of St. Louis review 86, pp. 49-60.
33. Scholl A., Uhlig H. New evidence on the puzzles. Results from agnostic identification on monetary policy and exchange rates 2006, Humboldt University, Berlin, SFB 649 discussion papers.
34. Sims C.A. Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review 1992, 36:975-1011.
35. Sims C.A., Zha T. Does monetary policy generate recessions?. Macroeconomic Dynamics 2006, 10:231-272.
36. Steinsson J. The dynamic behavior of the real exchange rate in sticky price models. American Economic Review 2008, 98:519-533.
37. Uhlig H. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 2005, 52:381-419.