Macroeconomic Shocks, Structural Change and Real Exchange Rates: Evidence from Historical Data

40 Pages Posted: 5 Feb 2006

See all articles by Anton Muscatelli

Anton Muscatelli

University of Glasgow - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Franco Spinelli

University of Brescia - Department of Economics

Carmine Trecroci

University of Brescia

Date Written: September 2004

Abstract

We present empirical evidence on the forces driving real exchange rates in the long run. Using data from three industrialised countries, across different exchange rate regimes, we find support for the hypothesis that productivity and fiscal shocks matter. However, in some cases fiscal shocks cause depreciations, likely triggered by the monetary accomodation of fiscal shocks. The traditional Harrod-Balassa-Samuelson effect of productivity on real exchange rates is also found to be reversed in some cases, which demonstrates the importance of the distributive sector in driving productivity gains.

JEL Classification: F31, E44, C32

Suggested Citation

Muscatelli, Vito Anton and Spinelli, Franco and Trecroci, Carmine, Macroeconomic Shocks, Structural Change and Real Exchange Rates: Evidence from Historical Data (September 2004). Available at SSRN: https://ssrn.com/abstract=771344 or http://dx.doi.org/10.2139/ssrn.771344

Vito Anton Muscatelli

University of Glasgow - Department of Economics ( email )

Adam Smith Building
Glasgow, Scotland G12 8RT
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Franco Spinelli

University of Brescia - Department of Economics ( email )

Via San Faustino 74B
Brescia, 25122
Italy

Carmine Trecroci (Contact Author)

University of Brescia ( email )

Via San Faustino 74B
Brescia, 25122
Italy

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