Macroeconomic shocks, structural change and real exchange rates: evidence from historical data

Muscatelli, V. A., Spinelli, F. and Trecroci, C. (2007) Macroeconomic shocks, structural change and real exchange rates: evidence from historical data. Journal of International Money and Finance, 26(8), pp. 1403-1423. (doi: 10.1016/j.jimonfin.2007.09.007)

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Abstract

We present empirical evidence on the forces driving real exchange rates in the long-run. Using data from the US, UK and Italy across different exchange rate regimes, we find support for the hypothesis that productivity and fiscal shocks matter. However, in some cases fiscal shocks cause depreciations, likely triggered by the monetary accommodation of fiscal shocks. We also find that the traditional Harrod–Balassa–Samuelson effect of productivity on real exchange rates is reversed in some cases, which confirms the importance of the distributive sector in driving productivity gains.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Trecroci, Mr Carmine and Muscatelli, Professor Anton
Authors: Muscatelli, V. A., Spinelli, F., and Trecroci, C.
College/School:College of Social Sciences > Adam Smith Business School > Economics
College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of International Money and Finance
Publisher:Elsevier Ltd.
ISSN:0261-5606
ISSN (Online):1873-0639
Published Online:24 November 2007

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