Эксоцман
на главную поиск contacts

Monetary policy's role in exchange rate behavior

Опубликовано на портале: 11-11-2004
International Finance Discussion Papers. 1999.  No. 652.
While much empirical work has addressed the role of monetary policy shocks in exchange rate behavior, conclusions have been clouded by the lack of plausible identifying assumptions. We apply a recently developed inference procedure allowing us to relax dubious identifying assumptions. This work overturns some earlier results and strengthens others: Contrary to earlier findings of "delayed overshooting," the peak exchange rate effect of policy shocks may come nearly immediately after the shock; In every otherwise reasonable identification, monetary policy shocks lead to large uncovered interest rate parity (UIP) deviations; Monetary policy shocks may account for a smaller portion of the variance of exchange rates than found in earlier estimates. While is consistent with overshooting, implies that the overshooting cannot be driven by Dornbusch's mechanism, and gives reason to doubt whether monetary policy shocks are the main source of exchange rate volatility.

Ссылки
текст статьи на сайте Federal Reserve Board:
http://www.federalreserve.gov/pubs/ifdp/1999/652/ifdp652.pdf
BiBTeX
RIS
Ключевые слова

См. также:
Rudiger Dornbusch
NBER Working Paper Series. 1980.  No. 0493.
[Статья]
William T. Gavin, Finn E. Kydland, Michael R. Pakko
Journal of Monetary Economics. 2007.  Vol. 54. No. 6. P. 1587-1611. 
[Статья]
Zeno Rotondi, Glacomo Vaciago
Universita Cattolica del Sacro Cuore di Milano Working Papers. 2002.  No. 46.
[Статья]
Cindy Moons, Harry Garretsen, Bas van Aarle, Jorge Fornero
Journal of Policy Modeling. 2007.  Vol. 29. No. 6. P. 879-902. 
[Статья]
Charles M. Engel
NBER Working Paper Series. 2001.  No. 8550.
[Статья]
Marc Giannoni, Ilian Mihov, Jean Boivin
NBER Working Papers. 2007. 
[Статья]
Athanasios Geromichalos, Juan Manuel Licari, José Suárez-Lledó
Review of Economic Dynamics. 2007.  Vol. 10. No. 4. P. 761-779. 
[Статья]