Are supply shocks important for real exchange rates? A fresh view from the frequency-domain

Gehrke Britta; Yao Fang

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Are supply shocks important for real exchange rates? A fresh view from the frequency-domain

机译：供给冲击对实际汇率重要吗？频域的全新视角

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摘要

This paper re-examines the role of supply shocks for real exchange rate fluctuations and contributes by exploiting insights from the frequency-domain perspective. In contrast to the existing literature, our empirical findings point towards an important role played by supply (productivity) shocks in driving US real effective exchange rate fluctuations at low frequencies, while real demand shocks matter mostly at high and medium frequencies. In addition, we propose an approach to structurally decompose the persistence of the real exchange rate and find that supply shocks explain up to half of its persistence. (C) 2017 Elsevier Ltd. All rights reserved.

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来源
《Journal of International Money and Finance》 |2017年第12期|99-114|共16页
作者
Gehrke Britta; Yao Fang;
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作者单位

Friedrich Alexander Univ Erlangen Nurnberg FAU, Lange Gasse 20, D-90403 Nurnberg, Germany|Inst Employment Res IAB, Nurnberg, Germany;

Reserve Bank New Zealand, Wellington, New Zealand;

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正文语种 eng
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关键词
Real exchange rate; Supply shocks; SVAR; Spectral variance decomposition;

机译：实际汇率;供应冲击;SVAR;谱方差分解;

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Are supply shocks important for real exchange rates? A fresh view from the frequency-domain

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