Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/101321 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
IWQW Discussion Papers No. 11/2014
Verlag: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Nürnberg
Zusammenfassung: 
Steinsson (2008) shows that real shocks that affect the New Keynesian Phillips curve explain the behavior of the real exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of the real exchange rate in the data. In a structural VAR analysis, we identify productivity, labor supply, cost-push, government spending, risk premium, and monetary policy shocks using sign restrictions derived from Steinsson's model. We study different methods of variance decomposition. According to the forecast error variance decomposition, the real demand shocks are the most important source of real exchange rate volatility. At business cycle frequencies, however, three supply shocks account for up to 40 percent of real exchange rate fluctuations.
Schlagwörter: 
real exchange rate
supply shock
structural vector autoregression
sign restriction
business cycle variance decomposition
JEL: 
C32
F31
F32
F41
Dokumentart: 
Working Paper

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