Accounting for the Source of Exchange Rate Movements: New Evidence

Farrant, Katie; Peersman, Gert; Wilsonplein, W.

doi:10.2139/ssrn.824728

Cited by 2 publications

(2 citation statements)

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“…According to this view, permanent real shocks are responsible for fluctuations in both real and nominal rates. To determine the significance of permanent and momentary shocks on exchange rates, it is crucial to construct an empirical model, as emphasized by Farrant and Peersman (2005). This study examines the effects of three distinct shocks, specifically, supply shocks, demand shocks and monetary shocks, on fluctuations in the real exchange rate.…”

Section: Introductionmentioning

confidence: 99%

Sources of real exchange rate fluctuations in Egypt

Alabdulwahab,

Abou-Zaid

2023

REPS

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PurposeThis paper aims to empirically investigate the sources of real exchange rate fluctuations in Egypt using structural vector autoregression (SVAR). The data covers the period between 1980 and 2016, where exchange regime has been changed more than once.Design/methodology/approachThis paper investigates the source of real exchange rate fluctuations for the period between 1980 and 2016 using the SVAR method. The SVAR method will incorporate real gross domestic product (GDP), real effective exchange rate (REER) and price level in a multidimensional equations system. However, impulse response function (IRF) and error variance decompositions (EVDC) will be generated by the system to have a behavioral insight of real exchange rate in response to economic shocks.FindingsThe IRF and EVDC results indicate a significant impact of demand shocks over the real exchange rate relative to supply shocks and monetary shocks in the period between 1980 and 2016. On the other hand, monetary shocks will have a negligible effect on the real exchange rate in the short run and converging to its previous level in the covering period of the study.Originality/valueIn the best of the authors' knowledge, the topic of the source of the real exchange rate fluctuations in Egypt has not been discussed in a wide range due to the lack of time series data. However, this study provides constructed data for REER for Egypt with the published method in the International Monetary Fund (IMF). Furthermore, the study involves theoretical and econometric modeling to ensure the reliability of the economic results.

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Section: Introductionmentioning

confidence: 99%

Sources of real exchange rate fluctuations in Egypt

Alabdulwahab,

Abou-Zaid

2023

REPS

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“…Farrant and Peersman (2005), for instance, use sign restrictions introduced by Faust (1998), Uhlig (1999) and Canova and De Nicoló (2002) instead of long-run zero restrictions. Artis and Ehrmann (2000), Fisher and Huh (2002), and Alexius und Post (2005) use a combination of short and long-run restrictions.…”

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confidence: 99%

Identifying Determinants of Germany's International Price Competitiveness

Meurers¹

2006

OECD Economics Department Working Papers

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Accounting for the Source of Exchange Rate Movements: New Evidence

Cited by 2 publications

References 23 publications

Sources of real exchange rate fluctuations in Egypt

Sources of real exchange rate fluctuations in Egypt

Identifying Determinants of Germany's International Price Competitiveness

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