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dc.contributor.authorKempa, Bernden_US
dc.date.accessioned2010-10-08T08:59:35Z-
dc.date.available2010-10-08T08:59:35Z-
dc.date.issued2003en_US
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_US
dc.language.isoengen_US
dc.publisherFachbereich Wirtschaftswiss., Univ. Duisburg-Essen, Standort Essen Essenen_US
dc.relation.ispartofseriesDiskussionsbeiträge aus dem Fachbereich Wirtschaftswissenschaften der Universität Duisburg-Essen, Standort Essen 129en_US
dc.subject.jelF41en_US
dc.subject.jelF47en_US
dc.subject.jelC63en_US
dc.subject.ddc330en_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordvector autoregressionen_US
dc.subject.keywordnominal and real shocksen_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwMonetäre Wechselkurstheorieen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwGesamtwirtschaftliche Nachfrageen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwWelten_US
dc.subject.stwUSAen_US
dc.titleAn oversimplified inquiry into the sources of exchange rate variabilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn37346133Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:udewwd:129-
Appears in Collections:IBES Diskussionsbeiträge, Universität Duisburg-Essen

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