Myanmar maintained a multiple exchange rate system, and the parallel market exchange rate was left untamed. In the last two decades, the Myanmar kyat exchange rate of the parallel market has exhibited the sharpest fluctuations among Southeast Asian currencies in real terms. Since the move to a managed float regime in April 2012, the question arises of whether exchange rate policies will be effective in stabilizing the real exchange rate. This paper investigates the sources of fluctuations in the real effective exchange rate using Blanchard and Quah’s (1989) structural vector autoregression model. As nominal shocks can be created by exchange rate policies, a persistent impact of a nominal shock implies more room for exchange rate policies. Decomposition of the fluctuations into nominal and real shocks indicates that the impact of nominal shocks is small and quickly diminishes, implying that complementary sterilization is necessary for effective foreign exchange market interventions.
権利
Copyrights 日本貿易振興機構（ジェトロ）アジア経済研究所 / Institute of Developing Economies, Japan External Trade Organization (IDE-JETRO) http://www.ide.go.jp
雑誌名
IDE Discussion Paper
雑誌名(英)
IDE Discussion Paper
巻
388
発行年
2013-02-01
出版者
Institute of Developing Economies (IDE-JETRO)
著者版フラグ
publisher
日本十進分類法
338.95
JEL分類
JEL:F31 - Foreign Exchange
JEL:F41 - Open Economy Macroeconomics
JEL:O53 - Asia including Middle East
地域/国名
ミャンマー
キーワード(LSH)
Myanmar
Foreign exchange
Real and nominal effective exchange rates
Structural VAR
Sources of fluctuations in parallel exchange rates and policy reform in Myanmar
本文
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