Is the Exchange Rate a Shock Absorber or a Source of Shocks? New Empirical Evidence
用结构向量自回归模型分析英国、欧元区、日本和加拿大对美国的实际汇率，提出基于符号约束的新识别策略，发现名义冲击对汇率波动作用显著，汇率更可能是冲击源而非吸收器。
This paper analyses the role of the real exchange rate in a structural vector autoregression framework for the United Kingdom, Euro area, Japan, and Canada vis-a-vis the United States. A new identification strategy is proposed building on sign restrictions. The results are compared to the benchmark conventional approach of Clarida and Gali (1994) based on long-run zero restrictions. Although the restrictions are derived from the same theoretical model, the results are strikingly different. In contrast to the benchmark model, an important role for nominal shocks in explaining real exchange rate fluctuations is found. Hence, the exchange rate can rather be considered as a source of shocks instead of a shock absorber.