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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

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

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

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

Macroeconomic factors and micro-level bank risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010

Persistent link: https://www.econbiz.de/10010302760

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

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

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

Monetary policy and exchange rate interactions in a small open economy

Bjørnland, Hilde C. - 2005

news, the interdependence increases considerably. In particular, following a contractionary monetary policy shock, the real …

Persistent link: https://www.econbiz.de/10010284259

US Monetary Policy in a Globalized World

Cuaresma, Jesús Crespo; Doppelhofer, Gernot; … - 2016

find that a contractionary US monetary policy shock leads to a persistent fall in international output, a drop in global … negative shock to foreign real GDP growth. …

Persistent link: https://www.econbiz.de/10013370122