The exchange rate - A shock-absorber or source of shocks? A study of four open economies

被引：30

作者：

Artis, Michael

Ehrmann, Michael

机构：

[1] Univ Manchester, Inst Polit & Econ Governance, Manchester M13 9PL, Lancs, England

[2] European Cent Bank, D-60311 Frankfurt, Germany

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2006年 / 25卷 / 06期

关键词：

exchange rates; structural vector autoregression; UK; Canada; Denmark; Sweden; EMU;

D O I：

10.1016/j.jimonfin.2006.07.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper provides SVAR estimates for the UK, Canada, Sweden and Denmark, making explicit a monetary policy reaction function and taking account of exchange rate targeting practices. It examines the role of the exchange rate as shock-absorber as opposed to a source of its own, and destabilizing, shocks. We find that in all countries but the UK, real shocks are predominantly symmetric relative to the neighbor, implying little need for the exchange rate to act as shock-absorber. The shocks arising in the exchange market appear to have played a more important role in Denmark than in the other countries. (c) 2006 Elsevier Ltd. All rights reserved.

引用

页码：874 / 893

页数：20

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