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Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, Alessandro (2008)
Publisher: Centre for International Capital Markets, London Metropolitan University
Languages: English
Types: Article
Subjects: fiscal shocks, E62, C32, dewey330, Kaufkraftparität, Zwei-Länder-Modell, Finanzsektor, fiscal shocks, real exchange rate, Latin American countries, O54, Zeitreihenanalyse, real exchange rate, Latin American countries, Volatilität, Schätzung, Schock, Lateinamerika
ddc: ddc:330
This is the post-print version of the final paper published in Journal of International Money and Finance. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2011 Elsevier B.V. This paper analyses the effects of fiscal shocks in selected Latin American countries using a two-country model for output, labour input, government spending and relative prices. Dynamic simulation techniques are then applied, in particular to shed light on the possible effects of fiscal imbalances on the real exchange rate. Using quarterly data over the period 1980–2006, we find that in a majority of cases fiscal shocks are the main driving force of real exchange rate fluctuations.
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