Data for: How do shocks to domestic factors affect real exchange rates of Asian developing countries?

Abstract of associated article: This paper examines real exchange rate responses to shocks in exchange rate determinants for fourteen Asian developing countries. The analysis is based on a panel structural vector error correction model, and the shocks are identified using sign and zero restrictions. We find that trade liberalization generates permanent depreciation, and higher government consumption causes persistent appreciation. Traded-sector productivity gains induce appreciation but their effects are not immediate and last only for a few years. Real exchange rate responses to unexpected monetary tightening are consistent with the long-run neutrality of money. The evidence suggests that trade liberalization and government consumption have a strong effect on real exchange rates, while the effects of traded-sector productivity shocks are much weaker.

关联论文摘要：本文针对14个亚洲发展中国家，考察了实际汇率对汇率决定因素冲击的响应。本分析基于面板结构向量误差修正模型（panel structural vector error correction model），并通过符号约束与零约束识别各类冲击。研究发现，贸易自由化会引发实际汇率永久性贬值，而政府消费规模扩大则会造成实际汇率持续升值。贸易部门生产率提升会引致实际汇率升值，但该效应并非即时显现，且仅能维持数年。实际汇率对未预期货币紧缩的响应，与货币长期中性的理论预判一致。实证结果表明，贸易自由化与政府消费对实际汇率的影响较强，而贸易部门生产率冲击的影响则相对微弱。