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

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 2228

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Fiscal Policy ; Economywide Country Studies: Latin America; Caribbean
• Thema: fiscal shocks ; real exchange rate ; Latin American countries ; Schock ; Finanzsektor ; Kaufkraftparität ; Volatilität ; Zwei-Länder-Modell ; Zeitreihenanalyse ; Schätzung ; Lateinamerika

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Ciferri, Davide ; Girardi, Alessandro
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/26273
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ