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Real Exchange Rate Fluctuations in East Asia: Generalized Impulse‐Response Analysis

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  • Ping Wang
  • Paul Dunne

Abstract

Using generalised impulse response analysis, this paper investigates the dynamic adjustment of real exchange rates to real shocks for a group of East Asian currencies. The analysis reveals that the fundamentals, or real factors, explain some, but not all, of the variations of real exchange rates, and that the different disturbances have different degrees of importance for each currency. Therefore, there is no universal panacea for fluctuations in real exchange rates. The findings leave considerable scope for policy intervention to mitigate the unfavourable effects.

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  • Ping Wang & Paul Dunne, 2003. "Real Exchange Rate Fluctuations in East Asia: Generalized Impulse‐Response Analysis," Asian Economic Journal, East Asian Economic Association, vol. 17(2), pages 185-203, June.
    • Handle: RePEc:bla:asiaec:v:17:y:2003:i:2:p:185-203
    DOI: 10.1111/1467-8381.00167
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    Cited by:

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    4. In‐Bong Ha & Bong‐Soo Lee & Chongcheul Cheong, 2007. "What Caused the Korean Currency Crisis in 1997?: Weak Fundamentals or Self‐fulfilling Expectations," Asian Economic Journal, East Asian Economic Association, vol. 21(2), pages 195-206, June.
    5. Muhammad Akmal Farouqi & Gigih Fitrianto, 2024. "Systemic Effects on Intersectoral Linkages: Framework and Analysis," Gadjah Mada Economics Working Paper Series 202403001, Department of Economics, Faculty of Economics and Business, Universitas Gadjah Mada.
    6. Diego Méndez-Carbajo, 2011. "Energy dependence, oil prices and exchange rates: the Dominican economy since 1990," Empirical Economics, Springer, vol. 40(2), pages 509-520, April.
    7. Liu, Tie-Ying & Lin, Ye, 2024. "Who has mastered exchange rate ups and downs: China or the United States?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    8. repec:rre:publsh:v:35:y:2005:i:3:p:246-65 is not listed on IDEAS
    9. Maryam Ishaq & Ghulam Ghouse & Muhammad Ishaq Bhatti, 2022. "Another Prospective on Real Exchange Rate and the Traded Goods Prices: Revisiting Balassa–Samuelson Hypothesis," Sustainability, MDPI, vol. 14(13), pages 1-17, June.
    10. Nusair, Salah A. & Olson, Dennis, 2019. "The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis," Energy Economics, Elsevier, vol. 78(C), pages 44-63.
    11. Khemraj, Tarron & Langrin, R. Brian, 2009. "Dynamic interactions of bank assets in two foreign currency constrained economies," MPRA Paper 36620, University Library of Munich, Germany, revised Nov 2010.
    12. Khemraj, Tarron, 2007. "Monetary policy and excess liquidity: the case of Guyana," MPRA Paper 53126, University Library of Munich, Germany.

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