Fiscal shocks and real exchange rate dynamics : some evidence for Latin America

Caporale, Guglielmo Maria and Ciferri, Davide and Girardi, Alessandro (2008) Fiscal shocks and real exchange rate dynamics : some evidence for Latin America. Centre for International Capital Markets discussion papers, 2008 (05). pp. 1-37. ISSN 1749-3412

[img]
Preview
Text
CentreForInternationalCapitalMarketsDiscussionPapers_2008-05_p01-37.pdf - Published Version

Download (406kB) | Preview
Official URL: http://www.londonmet.ac.uk/media/london-metropolit...

Abstract

This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in particular to shed light on the possible effects of fiscal imbalances on the real exchange rate in the case of six Latin American countries. Using quarterly data over the period 1980-2006, we find that in a majority of cases fiscal shocks are the main driving force of real exchange rate fluctuations.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; fiscal shocks; real exchange rate; Latin America; Latin American countries
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 21 Apr 2015 14:06
Last Modified: 21 Apr 2015 14:06
URI: http://repository.londonmet.ac.uk/id/eprint/460

Actions (login required)

View Item View Item