Dollarization and exchange rate fluctuations
In: Discussion paper series 6205
In: International macroeconomics
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In: Discussion paper series 6205
In: International macroeconomics
In: European economy, Heft 2, S. Special Report: European integration and the functioning of product markets, S. 271-366 (Chap. 5)
ISSN: 0379-0991
World Affairs Online
In: Berichte aus der Volkswirtschaft
In: European Integration and the Functionning of Product Market, A. Dierx, F. Ilzkovitz, K. Sekkat editors, Edward Elgard, 2004
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In: Emerging markets, finance and trade: EMFT, Band 54, Heft 2, S. 288-306
ISSN: 1558-0938
In: The International trade journal, Band 8, Heft 4, S. 435-446
ISSN: 1521-0545
In: NBER Working Paper No. w28608
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In: IMF Working Paper No. 2020/283
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Working paper
In: NBER Working Paper No. w26071
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In: Review of economics and political science: REPS, Band 9, Heft 1, S. 40-57
ISSN: 2631-3561
PurposeThis paper aims to empirically investigate the sources of real exchange rate fluctuations in Egypt using structural vector autoregression (SVAR). The data covers the period between 1980 and 2016, where exchange regime has been changed more than once.Design/methodology/approachThis paper investigates the source of real exchange rate fluctuations for the period between 1980 and 2016 using the SVAR method. The SVAR method will incorporate real gross domestic product (GDP), real effective exchange rate (REER) and price level in a multidimensional equations system. However, impulse response function (IRF) and error variance decompositions (EVDC) will be generated by the system to have a behavioral insight of real exchange rate in response to economic shocks.FindingsThe IRF and EVDC results indicate a significant impact of demand shocks over the real exchange rate relative to supply shocks and monetary shocks in the period between 1980 and 2016. On the other hand, monetary shocks will have a negligible effect on the real exchange rate in the short run and converging to its previous level in the covering period of the study.Originality/valueIn the best of the authors' knowledge, the topic of the source of the real exchange rate fluctuations in Egypt has not been discussed in a wide range due to the lack of time series data. However, this study provides constructed data for REER for Egypt with the published method in the International Monetary Fund (IMF). Furthermore, the study involves theoretical and econometric modeling to ensure the reliability of the economic results.
In: IMF Working Paper No. WP/04/18
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In: NBER working paper series 10245
In: IMF Working Paper, S. 1-26
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Working paper
In: American economic review, Band 94, Heft 2, S. 114-118
ISSN: 1944-7981