SOURCESOFREALANDNOMINALEXCHANGERATE-…：的实际和名义汇率的来源—….docVIP

SOURCES OF REAL EXCHANGE RATE FLUCTUATIONS IN TRANSITION ECONOMIES: THE CASE OF POLAND AND HUNGARY by Selahattin Dibooglu* and Ali M. Kutan** * Dibooglu --- Department of Economics, Southern Illinois University, Carbondale. E-mail: dibo@ ** Kutan --- Department of Economics, Southern Illinois University, Edwardsville. E-mail: akutan@ ______________________________________________________________________________ This paper was begun while Kutan was a Visiting Scholar at the Federal Reserve Bank of St. Louis and the Center for European Economic Integration, University of Bonn. We are grateful to Josef Brada for his very useful comments and suggestions. We also thank two anonymous referees and Lucjan Orlowski and Gyorgy Szapary for their helpful insights on an earlier version of this paper. Kutan acknowledges the financial support of the National Council for Eurasian and East European Research and the Center for European Economic Integration, University of Bonn. He is also indebted to the Federal Reserve Bank of St. Louis for providing a congenial environment during the writing of this paper. The usual disclaimer applies. ABSTRACT This paper examines Brada‘s (1998) conjecture about the path of real exchange rates in two successful transition economies, Hungary and Poland. He argues that, as a result of the very diverse fiscal and monetary policies to be found among these economies, real exchange rates in some economies should follow a path that mirrors mainly the effect of real shocks and others a path reflecting the monetary shocks. To test this hypothesis, we use a popular structural VAR model and, assuming long-run neutrality of nominal shocks, we decompose the real exchange rate and price movements into those attributable to real and nominal shocks. Using monthly data from 1990 to 1999 for Hungary and Poland, we find that nominal shocks had a major influence in explaining real exchange rate movements in Poland, while real shocks had a larger influ