Original scientific paper

Sources of Exchange Rate Fluctuations: Empirical Evidence from Croatia

Nataša Erjavec
Boris Cota
Saša Jakšić

Abstract

This paper investigates the sources of real exchange rate fluctuations in Croatia, distinguishing between real and nominal sources, for the sample period ranging from January 1998 to March 2011. The results obtained using a structural vector autoregression (SVAR) model indicate that the volatility of the Croatian real exchange rate is mainly influenced by demand shocks, both in the short run and in the long run. The impact of supply shocks proved to be insignificant. Therefore, the exchange rate seems to be a shock absorber in Croatian economy.

Keywords

macroeconomic shocks; real exchange rate; SVAR; Blanchard-Quah decomposition; impulse response function; Croatia

Hrčak ID:

91382

URI

https://hrcak.srce.hr/91382

Publication date:

13.11.2012.

Article data in other languages: croatian

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