Re-examining the Sources of Real Exchange Rate Fluctuations: A Rational Expectations Structural VAR Approach
Resource
經濟論文叢刊, 31(4), 439-462
Journal
經濟論文叢刊
Journal Volume
31
Journal Issue
4
Pages
439-462
Date Issued
2003-12
Date
2003-12
Author(s)
Lee, H.Y.
Lin, S.K.
Abstract
To explicitly take into account market expectations for real exchange rate fluctuations, this paper proposes a rational expectations structural VAR (RE-SVAR) method to decompose structural shocks. An exogenous shock not only has effects on real exchange rates directly, but also has indirect effects through the change in predictions for other fundamental variables. The RE-SVAR method imposes all these direct and indirect channels to decompose the sources of real exchange rate fluctuations. We find that the over-identifying restrictions implied by our model cannot be rejected for Canada, France, Italy, and Japan. Our results also indicate that private expenditure shocks are the most important source of real exchange rate variations for France and Italy, monetary shocks are most important for Canada, and foreign price shocks are most important in the long run for Japan. Moreover, supply shocks have a small but significant explanatory power fot real exchange rate variations only in France.
Subjects
實質匯率
理性預期
結構性VAR模型
Rational expectations
Structural VAR
Real exchange rates
Type
journal article