Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/40933 
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dc.contributor.authorKempa, Bernden
dc.date.accessioned2010-10-08T08:59:35Z-
dc.date.available2010-10-08T08:59:35Z-
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/10419/40933-
dc.description.abstractExchange rates as well as relative price level and output movements are decomposed into components associated with nominal shocks as well as shocks to aggregate supply and aggregate demand. In contrast to previous analyses of such decompositions based on statistical vector autoregression (VAR) analysis, this study takes as a starting point a simple textbook model of exchange rate determination, augments it by allowing for suitably defined random shocks and transforms it into a triangular format resembling the identification procedure of the VAR methodology. Applied to major bilateral exchange rate series, the decomposition suggests that exchange rate variability is mostly driven by shocks to aggregate demand, partcularly in the longer run. Overall, the evidence is roughly in line with previous decompositions obtained from statistical VARs.en
dc.language.isoengen
dc.publisher|aUniversität Duisburg-Essen, Fachbereich Wirtschaftswissenschaften |cEssenen
dc.relation.ispartofseries|aDiskussionsbeitrag |x129en
dc.subject.jelF41en
dc.subject.jelF47en
dc.subject.jelC63en
dc.subject.ddc330en
dc.subject.keywordexchange ratesen
dc.subject.keywordvector autoregressionen
dc.subject.keywordnominal and real shocksen
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwMonetäre Wechselkurstheorieen
dc.subject.stwVAR-Modellen
dc.subject.stwGesamtwirtschaftliche Nachfrageen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwWelten
dc.subject.stwUSAen
dc.titleAn oversimplified inquiry into the sources of exchange rate variability-
dc.typeWorking Paperen
dc.identifier.ppn820584738en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:udewwd:129en

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