Sources of exchange rate fluctuations: empirical evidence from six emerging market countries

IBRAHIM S. CHOWDHURY

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Sources of exchange rate fluctuations: empirical evidence from six emerging market countries

机译：汇率波动的根源：来自六个新兴市场国家的经验证据

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This paper investigates sources of fluctuations in real and nominal US dollar exchange rates of selected emerging market economies by decomposing the exchange rate series into stochastic components induced by real and nominal factors. The dynamic effects and relative importance of real and nominal shocks in explaining the behaviour of these exchange rates are analysed. The results indicate that real shocks dominate nominal shocks for the exchange rate series examined. In turn, these findings have important economic implications.

机译：本文通过将汇率序列分解为由实际和名义因素引起的随机成分，研究了选定的新兴市场经济体的美元实际和名义汇率波动的来源。分析了实际和名义冲击在解释这些汇率行为时的动态影响和相对重要性。结果表明，在所考察的汇率序列中，实际冲击主导名义冲击。反过来，这些发现也具有重要的经济意义。

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来源
《Applied financial economics》 |2004年第10期|p.697-705|共9页
作者
IBRAHIM S. CHOWDHURY;
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Department of Economics, 50931 Cologne, Germany;

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正文语种 eng
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Sources of exchange rate fluctuations: empirical evidence from six emerging market countries

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