How Do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries?

Dumrongrittikul, Taya and Anderson, Heather M. (2016) How Do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries?. Journal of Development Economics, 119 67-85. doi:10.1016/j.jdeveco.2015.10.004


Author Dumrongrittikul, Taya
Anderson, Heather M.
Title How Do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries?
Journal name Journal of Development Economics   Check publisher's open access policy
ISSN 0304-3878
1872-6089
Publication date 2016-03-01
Sub-type Article (original research)
DOI 10.1016/j.jdeveco.2015.10.004
Open Access Status Not Open Access
Volume 119
Start page 67
End page 85
Total pages 43
Place of publication Amsterdam, The Netherlands
Publisher Elsevier
Language eng
Formatted abstract
This paper examines real exchange rate responses to shocks in exchange rate determinants for fourteen Asian developing countries. The analysis is based on a panel structural vector error correction model, and the shocks are identified using sign and zero restrictions. We find that trade liberalization generates permanent depreciation, and higher government consumption causes persistent appreciation. Traded-sector productivity gains induce appreciation but their effects are not immediate and last only for a few years. Real exchange rate responses to unexpected monetary tightening are consistent with the long-run neutrality of money. The evidence suggests that trade liberalization and government consumption have a strong effect on real exchange rates, while the effects of traded-sector productivity shocks are much weaker
Keyword Asian developing countries
Domestic economic policy effects
Panel vector error correction model
Real exchange rates
Sign restricted impulse response
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: HERDC Pre-Audit
School of Economics Publications
 
Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 1 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 1 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Tue, 24 Nov 2015, 20:29:57 EST by Alys Hohnen on behalf of School of Economics