TY  - JOUR
AU  - Lee,Jaewoo
AU  - Chinn,Menzie D.
TI  - The Current Account and the Real Exchange Rate: A Structural VAR Analysis of Major Currencies
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6495
PY  - 1998
Y2  - April 1998
UR  - http://www.nber.org/papers/w6495
L1  - http://www.nber.org/papers/w6495.pdf
N1  - Author contact info:
Jaewoo Lee
Research Department
International Monetary Fund
Washington DC, 20431
E-Mail: jlee3@imf.org

Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu
AB  - A sticky-price model is used to motivate a structural VAR analysis of the current account and the real exchange rate for seven major industrialized countries (the US, Canada, the UK, Japan, Germany, France and Italy).  The analysis is distinguished from previous work in that it adopts minimal assumptions for identification.  The empirical results are consistent with the theoretical model, as well as the sticky price intertemporal model of Obstfeld and Rogoff (1995).  Permanent shocks to productivity have large long term effects on the real exchange rate, but relatively small effects on the current account; money shocks have large effects on the current account and exchange rate in the short run, but not on either variable in the long run.
ER  -