Monetary shocks and real exchange rates

• 成果类型: Article
• 署名作者: Rogers, JH
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00057-9
• 发表日期: 1999
• 页码: 269-288
• 关键词: Exchange rates; monetary shocks; vector autoregressions

摘要

Many explanations of real exchange rate movements focus on monetary shocks, but it is often found empirically that monetary shocks are unimportant. I provide contrary evidence. Using over 100 years of data, I estimate the contribution of various shocks to explaining variation in the real pound-dollar rate. Several VAR specifications provide a range for their contributions: from 19 to 60% for monetary shocks and 4 to 26% for fiscal and productivity shocks combined. I compare this to related work. My results lend empirical support to the convention in recent quantitative general equilibrium modeling of focusing on monetary shocks. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: F3.