This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...

Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has been viewed by some researchers as...

This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country....

The article deals with the evaluation of the foreign exchange market integration of the new EU Member States - the Czech Republic, Hungary, Poland and Slovakia. The main aim of this paper is to introduce and to test, if the Central-European sentiment on the foreign exchange market exists and how...

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...

The paper analyses a relationship between monetary aggregate M2 and inflation in a small open economy. The relationship between monetary expansion and inflation as well as a dynamic of income velocity of money framework in a small open economy are discussed in more details in the paper. Authors...

Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of ASEAN-5 countries. While it supports earlier findings supportive of monetary exchange rate model in...

This paper investigates evidence on the effect of dollar depreciation on the US tourism balance of trade. Export revenue and import spending functions are estimated separately with structural vector autoregressive methods to better capture the dynamic adjustment to exchange rate shocks....

Exchange rate plays an important role in transmitting pressures from the external shocks to the domestic economy. Development of inflation in the domestic economy is significantly determined by the ability of exchange rate to transmit external price related pressures to the domestic market....

International capital flows represents one of the key aspect of the globalisation process and refers to the continuous relieving the cross-border capital allocation barriers reflecting in huge increase in the common financial connections among the countries during the last decades. Flows of the...