How do fiscal and technology shocks affect real exchange rates? : New evidence for the United States

Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exch
Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive robust restrictions on the sign of several impulse responses from a two-country general equilibrium model. We find that both the real exchange rate and the terms of trade – whose responses are left unrestricted – depreciate in response to expansionary government spending shocks and appreciate in response to positive technology shocks.
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Metadaten
Author:Zeno Enders, Gernot J. Müller, Almut Scholl
URN:urn:nbn:de:hebis:30-56955
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,22
Series (Serial Number):CFS working paper series (2008, 22)
Document Type:Working Paper
Language:English
Year of Completion:2008
Year of first Publication:2008
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2008/08/08
Tag:Government Spending Shocks; International Transmission Mechanism; Real Exchange Rate; Sign Restrictions; Technology Shocks; Terms of Trade; VAR
SWD-Keyword:Realer Wechselkurs; Technischer Fortschritt; Terms of Trade; USA; Öffentliche Ausgaben
HeBIS PPN:202948218
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E32 Business Fluctuations; Cycles
F41 Open Economy Macroeconomics
F42 International Policy Coordination and Transmission
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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