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Shocks versus structure : explaining differences in exchange rate pass-through across countries and time
Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2017
We show that exchange rate pass-through to consumer prices varies not only across countries, but also over time. Previous literature has highlighted the role of an economy's "structure" - such as its inflation volatility, inflation rate, use of foreign currency invoicing, and openness - in...
Persistent link: https://www.econbiz.de/10011671018
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Do exchange rates absorb demand shocks at the ZLB?
Hoffmann, Mathias; Hürtgen, Patrick - 2021
appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …
Persistent link: https://www.econbiz.de/10012510174
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Empirical evidence on the dynamics of investment under uncertainty in the U.S.
Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019
Persistent link: https://www.econbiz.de/10012208719
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The shocks matter : improving our estimates of exchange rate pass-through
Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2015
A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose a new focus: incorporating the underlying shocks that cause exchange rate fluctuations when evaluating how these fluctuations "pass through" into import and consumer prices. We...
Persistent link: https://www.econbiz.de/10011384119
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236
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Bank loan supply shocks and alternative financing of non-financial corporations in the euro area
Mandler, Martin; Scharnagl, Michael - 2019
-bank loans to be substitutes for bank loans with negative responses to a positive loan supply shock while trade credit is a …
Persistent link: https://www.econbiz.de/10012034573
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Partial pooling with cross-country priors : an application to house price shocks
Roth, Markus - 2020
estimation uncertainty. As a by-product, the method delivers measures of cross-country heterogeneity. …
Persistent link: https://www.econbiz.de/10012173539
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On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound
Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023
We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the … output, confirming its shock-absorbing capacity before and during the ZLB episode. The stabilizing role of the exchange rate …
Persistent link: https://www.econbiz.de/10014320485
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The impact of uncertainty and certainty shocks
Schüler, Yves S. - 2020
's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future … real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing … that the two shocks are different shocks. Each shock impacts the real economy uniquely. I support this with the underlying …
Persistent link: https://www.econbiz.de/10012180723
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709