Degree Type

Dissertation

Date of Award

1992

Degree Name

Doctor of Philosophy

Department

Economics

First Advisor

Barry Falk

Abstract

The thesis sets forth the Dornbusch (1976) model of an open economy in order to interpret results obtained from the bivariate time series model invented by Blanchard and Quah (1989). A bivariate model of nominal and real exchange rates shows that so called real shocks contribute to the majority of exchange rate forecast error variances. In contrast, a bivariate model of the nominal exchange rate and output shows that so called nominal shocks contribute to the majority of nominal exchange rate forecast error variances. The contrast can be explained in the context of the Blanchard and Quah decomposition. An extension of Blanchard and Quah's bivariate model to the trivariate case also reconciles the differences. The study concludes that demand disturbances primarily account for nominal and real exchange rate movements. Income disturbances primarily account for output movements.

DOI

https://doi.org/10.31274/rtd-180813-9438

Publisher

Digital Repository @ Iowa State University, http://lib.dr.iastate.edu/

Copyright Owner

Philip Roe Murray

Language

en

Proquest ID

AAI9223950

File Format

application/pdf

File Size

138 pages

Included in

Economics Commons

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