期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2001
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：In this paper, we first outline the monetary version of the sticky price intertemporal model of
Obstfeld and Rogoff (1995, 1996), in which monetary shocks unambiguously generate a
permanent nominal exchange rate depreciation and a temporary current account surplus. We
then empirically investigate these theoretical predictions in two structural VAR systems for
15 OECD countries over the period 1979-1999, using the long-run restriction identification
scheme suggested by Clarida and Galì (1994). Our empirical findings support the main
predictions of the basic model, as well as suggesting that monetary shocks play an important
role in the current account fluctuations. Moreover, we find that more open economies show
greater sensitivity of the current account to monetary shocks.
关键词：Structural VAR, real exchange rate and current account.
