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IBES Diskussionsbeiträge, Universität Duisburg-Essen >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40933
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kempa, Bernd | | en_US |
| dc.date.accessioned | | 2010-10-08T08:59:35Z | | - |
| dc.date.available | | 2010-10-08T08:59:35Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/40933 | | - |
| dc.description.abstract | | Exchange 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Fachbereich Wirtschaftswiss., Univ. Duisburg-Essen, Standort Essen Essen | | en_US |
| dc.relation.ispartofseries | | Diskussionsbeiträge aus dem Fachbereich Wirtschaftswissenschaften der Universität Duisburg-Essen, Standort Essen 129 | | en_US |
| dc.subject.jel | | F41 | | en_US |
| dc.subject.jel | | F47 | | en_US |
| dc.subject.jel | | C63 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | exchange rates | | en_US |
| dc.subject.keyword | | vector autoregression | | en_US |
| dc.subject.keyword | | nominal and real shocks | | en_US |
| dc.subject.stw | | Wechselkurs | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Monetäre Wechselkurstheorie | | en_US |
| dc.subject.stw | | VAR-Modell | | en_US |
| dc.subject.stw | | Gesamtwirtschaftliche Nachfrage | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | An oversimplified inquiry into the sources of exchange rate variability | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 37346133X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:udewwd:129 | | - |
| Appears in Collections: | | IBES Diskussionsbeiträge, Universität Duisburg-Essen
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