Oil Price Shocks and the Norwegian Effective Exchange Rate - an SVAR Approach
We employ a structural VAR model to investigate direct and indirect effects of oil price changes on the Norwegian effective exchange rate (I44). The model is estimated on different subsamples and with different model specifications. Our main finding is that the direct effect of oil price shocks on the I44 has increased over time, independent of the model specification we choose. Furthermore, an increasing impact of oil shocks on interest rates and an increased impact of interest rates on the I44 account for the rise in the indirect impact of oil on the I44 over time. We further find that long (short) term interest differentials become relatively more (less) important for explaining movements in the I44 during recent samples. A possible interpretation could be the (zero) lower bound and unconventional monetary policy conducted by Norway's trading partners.
Year of publication: |
2016
|
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Authors: | ter Ellen, Saskia ; Martinsen, Kjetil |
Publisher: |
Oslo : Norges Bank |
Saved in:
freely available
Series: | Staff Memo ; 16/2016 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Research Report |
Language: | English |
ISBN: | 978-82-7553-932-6 |
Other identifiers: | 869927620 [GVK] hdl:10419/210329 [Handle] hdl:11250/2506532 [Handle] |
Source: |
Persistent link: https://www.econbiz.de/10012144118
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