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 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.
| 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: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2008/08/08 |
| Tag: | Government Spending Shocks; International Transmission Mechanism; Real Exchange Rate; Sign Restrictions; Technology Shocks; Terms of Trade; VAR |
| GND Keyword: | USA; Öffentliche Ausgaben; Technischer Fortschritt; Realer Wechselkurs; Terms of Trade |
| HeBIS-PPN: | 202948218 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
