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IUJ: Research outputs: Working Paper
Working Paper

No EMS-2010-05
Title Real Shock or Nominal Shock? Exchange Rate Movements in Cambodia and Lao PDR
Author Seiha Ok
Makoto Kakinaka
Hiroaki Miyamoto
Year 2010
Abstract This paper discusses a primary factor responsible for exchange rate fluctuations of the Cambodian riel and the Laotian kip against the US dollar. The dynamic effects of real and nominal shocks are examined through applying a vector autoregression (VAR) model of real and nominal exchange rates under the assumption of the long-run neutrality of nominal shocks on real exchange rates. This approach allows us to decompose exchange rate movements into two components, real and nominal factors, in order to identify how these factors influence exchange rate fluctuations. The empirical analysis demonstrates that real shocks in direction of depreciation lead to real and nominal depreciation, while nominal shocks induce long-run nominal depreciation but real appreciation in the short-run.
Revised version published in Singapore Economic Review

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