How do fiscal and technology shocks affect real exchange rates? New evidence for the United States

• 成果类型: Article
• 署名作者: Enders, Zeno; Mueller, Gernot J.; Scholl, Almuth
• 署名单位: University of Bonn; University of Konstanz
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2010.08.005
• 发表日期: 2011
• 页码: 53-69
• 关键词: Real exchange rate; Terms of trade; Government spending shocks; technology shocks; VaR; sign restrictions

摘要

Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive robust restrictions on the sign of several impulse responses from a two-country general equilibrium model. We find that both the real exchange rate and the terms of trade whose responses are left unrestricted depreciate in response to expansionary government spending shocks and appreciate in response to positive technology shocks. (C) 2010 Elsevier B.V. All rights reserved.