haku: @indexterm Vector autoregression models / yhteensä: 14
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| Tekijä: | Fisher, L.A. Huh, H-S. |
| Otsikko: | Real exchange rates, trade balances and nominal shocks: evidence for the G-7 |
| Lehti: | Journal of International Money and Finance
2002 : AUG, VOL. 21:4, p. 497-518 |
| Asiasana: | EXCHANGE RATES VECTOR AUTOREGRESSION MODELS VISIBLE BALANCE |
| Kieli: | eng |
| Tiivistelmä: | To identify nominal shocks in structural VAR models of open economies, it is common practice to use purchasing power parity as a long-run identifying restriction so that there are no long-run effects of nominal shocks on real exchange rates. However, in some recent open economy intertemporal models with sticky prices, nominal shocks can have long-run effects on both real exchange rates and trade balances. In this paper, structural VAR models for the G-7 are identified in such a way that nominal shocks, at least potentially, can have long-run effects on a country's real exchange rate. |
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