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Real Shock Or Nominal Shock? Exchange Rate Movements In Cambodia And Lao Pdr

Author

Listed:
  • SEIHA OK

    (National Audit Authority of Cambodia, No. 16, Street 240, 12301 Phnom Penh, Cambodia)

  • MAKOTO KAKINAKA

    (Graduate School of International Relations, International University of Japan, 777 Kokusai-cho, Minami-Uonuma, Niigata 949-7277, Japan)

  • HIROAKI MIYAMOTO

    (Graduate School of International Relations, International University of Japan, 777 Kokusai-cho, Minami-Uonuma, Niigata 949-7277, Japan)

Abstract

This paper studies sources of fluctuations in real and nominal US dollar exchange rates in Cambodia and Lao PDR by decomposing them into the components induced by real and nominal factors. These shocks affecting real and nominal exchange rates are identified by using a structural vector autoregression (SVAR) model with the long-run neutrality restriction of Blanchard and Quah (1989). The empirical analysis demonstrates that real shocks in direction of depreciation lead to real and nominal depreciation, while nominal shocks induce long-run nominal depreciation but real appreciation in the short-run. Several economic implications are also discussed.

Suggested Citation

  • Seiha Ok & Makoto Kakinaka & Hiroaki Miyamoto, 2010. "Real Shock Or Nominal Shock? Exchange Rate Movements In Cambodia And Lao Pdr," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(04), pages 685-703.
    • Handle: RePEc:wsi:serxxx:v:55:y:2010:i:04:n:s0217590810004012
    DOI: 10.1142/S0217590810004012
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    3. Nguyen Van Phuong, 2015. "Sources of Exchange Rate Fluctuation in Vietnam: An Application of the SVAR Model," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(4), pages 671-679, April.

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    More about this item

    Keywords

    Real and nominal exchange rates; real and nominal shocks; SVAR analysis; Cambodia and Lao PDR; F30; F41; O53;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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