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

Michael Artis; Michael Ehrmann

doi:10.1016/j.jimonfin.2006.07.003

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

Michael Artis, Michael Ehrmann

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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. © 2006 Elsevier Ltd. All rights reserved.

Original language	English
Pages (from-to)	874-893
Number of pages	19
Journal	Journal of International Money and Finance
Volume	25
Issue number	6
DOIs	https://doi.org/10.1016/j.jimonfin.2006.07.003
Publication status	Published - Oct 2006

Keywords

Canada
Denmark
EMU
Exchange rates
Structural vector autoregression
Sweden
UK

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.jimonfin.2006.07.003

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

abstract = "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. {\textcopyright} 2006 Elsevier Ltd. All rights reserved.",

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N2 - 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. © 2006 Elsevier Ltd. All rights reserved.

AB - 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. © 2006 Elsevier Ltd. All rights reserved.

KW - Canada

KW - Denmark

KW - EMU

KW - Exchange rates

KW - Structural vector autoregression

KW - Sweden

KW - UK

U2 - 10.1016/j.jimonfin.2006.07.003

DO - 10.1016/j.jimonfin.2006.07.003

M3 - Article

SN - 0261-5606

VL - 25

SP - 874

EP - 893

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

IS - 6

ER -

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

Abstract

Keywords

UN SDGs

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