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Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?
Gottschalk, Jan; Döpke, Jörg; Kamps, Christophe - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10010260459
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Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach
Bhuiyan, Rokon - 2008
estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …. Finally, I find that Canadian variables significantly responds to the US federal funds rate shock, and external shocks are an …
Persistent link: https://www.econbiz.de/10010290388
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Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary
Rezessy, András - 2005
markedly when the estimation is carried out with a two-day window suggesting the inefficiency of markets in incorporating …
Persistent link: https://www.econbiz.de/10010322405
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Modelling the effects of Brexit on the British economy
Minford, Patrick; Zhu, Zheyi - 2023
We estimate the short run effects of Brexit border disruption on the UK economy. We estimate a structural VAR for the UK where Brexit effects are identified by the dates of Brexit events, the referendum and the exit from the single market. We find evidence of short run effects of Brexit:...
Persistent link: https://www.econbiz.de/10014480601
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Risk premium shocks, monetary policy and exchange rate pass-through in the Czech Republic, Hungary and Poland
Vonnák, Balázs - 2010
. VAR models are estimated for the Czech Republic, Hungary and Poland. Contemporaneous and sign restrictions are imposed in … of risk premium shock renders it almost impossible for the interest rate policy to smooth the exchange rate with the aim …
Persistent link: https://www.econbiz.de/10010322471
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Estimating the effect of Hungarian monetary policy within a structural VAR framework
Vonnák, Balázs - 2005
, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with …’ strategy applied recently by several authors. I also propose another approach, namely, imposing restrictions on implied shock ….1-0.15% lower consumer prices; (4) the impact on prices is slower than on output; it reaches its bottom 4-6 years after the shock …
Persistent link: https://www.econbiz.de/10010322447
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Regime-dependent effects of monetary policy shocks: Evidence from threshold vector autoregressions
Mandler, Martin - 2010
This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy...
Persistent link: https://www.econbiz.de/10010286403
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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10010302760
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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10010274932
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Exchange rate dynamics, expectations, and monetary policy
Chen, Qianying - 2011
This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...
Persistent link: https://www.econbiz.de/10010305998