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Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates
Eichenbaum, Martin - 1993
rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is …
Persistent link: https://www.econbiz.de/10012474691
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Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?
Clarida, Richard - 1994
This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...
Persistent link: https://www.econbiz.de/10012474278
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Trade Linkages and Output-Multiplier Effects : A Structural VAR Approach with a Focus on Asia
Abeysinghe, Tilak - 2001
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output …-trade matrix. For example, due to these output-multiplier effects, a shock to one country can have a large impact on countries that …
Persistent link: https://www.econbiz.de/10012470116
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Dynamic Identification in VARs
Beaudry, Paul; Collard, Fabrice; Fève, Patrick; Guay, Alain - National Bureau of Economic Research - 2024
Most macroeconomic models view economic outcomes as being generated by a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modelled as a set of independent dynamics processes. In this paper we begin by showing that this dual dynamic...
Persistent link: https://www.econbiz.de/10014576627
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International Shocks and Domestic Prices : How Large Are Strategic Complementarities?
Amiti, Mary - 2016
How strong are strategic complementarities in price setting across firms? In this paper, we provide a direct empirical estimate of firm price responses to changes in prices of their competitors. We develop a general framework and an empirical identification strategy to estimate the elasticities...
Persistent link: https://www.econbiz.de/10012456555
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What Drives the Exchange Rate?
Itskhoki, Oleg; Mukhin, Dmitry - National Bureau of Economic Research - 2023
We use a general open-economy wedge-accounting framework to characterize the set of shocks that can account for major exchange rate puzzles. Focusing on a near-autarky behavior of the economy, we show analytically that all standard macroeconomic shocks -- including productivity, monetary,...
Persistent link: https://www.econbiz.de/10014447328
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The Global Dollar Cycle
Obstfeld, Maurice; Zhou, Haonan - National Bureau of Economic Research - 2023
The U.S. dollar's nominal effective exchange rate closely tracks global financial conditions, which themselves show a cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth, especially influencing the fortunes of emerging and...
Persistent link: https://www.econbiz.de/10014247924
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What do Financial Markets say about the Exchange Rate?
Chernov, Mikhail; Haddad, Valentin; Itskhoki, Oleg - National Bureau of Economic Research - 2024
Financial markets play two roles with implications for the exchange rate: they accommodate risk sharing and act as a source of shocks. In prevailing theories, these roles are seen as mutually exclusive and individually face challenges in explaining exchange rate dynamics. However, we demonstrate...
Persistent link: https://www.econbiz.de/10014544715
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Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate
Ravn, Morten O. - 2007
government spending shock. In addition, the deep-habit model predicts that in response to an anticipated increase in government …
Persistent link: https://www.econbiz.de/10012465322
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Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
Faust, Jon - 2003
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...
Persistent link: https://www.econbiz.de/10012469038