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The Effects of US Monetary Policy Shocks : Applying External Instrument Identification to a Dynamic Factor Model
Kerssenfischer, Mark - 2021
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10013315462
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The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model
Kerssenfischer, Mark - 2017
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10011636064
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Exchange rate pass-through, monetary policy and real shocks : an empirical evaluation
Aguirre, Horacio A.; González Padilla, Héctor Gustavo - 2019 - This version: January 2019
We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed … that ERPT changes with the kind of shock and the monetary policy response to it. …
Persistent link: https://www.econbiz.de/10012020009
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Disentangling permanent and transitory monetary shocks with a nonlinear taylor rule
Lafuente, Juan Angel; Monfort, Mercedes; Pérez, Rafaela; … - In: Economics : the open-access, open-assessment journal 15 (2021) 1, pp. 150-162
This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...
Persistent link: https://www.econbiz.de/10012887149
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Monetary Policy Shocks in a Two-Sector Open Economy : An Empirical Study
Llaudes, Ricardo - 2007
This paper studies the effects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR frame-work. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...
Persistent link: https://www.econbiz.de/10012776366
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Monetary, Real Shocks and Exchange Rate Variations in India
Maitra, Biswajit - 2016
This article examines how a rate of the change of the exchange rate as well as how a rate of the change of the expected exchange rate are related to the unanticipated change in domestic money supply and output. Empirical analysis involves quarterly time series of the rupee/US dollar exchange...
Persistent link: https://www.econbiz.de/10012993878
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Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …
Persistent link: https://www.econbiz.de/10012626760
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Monetary Policy and Exchange Rate Dynamics : The Exchange Rate as a Shock Absorber
Audzei, Volha - 2013
The traditional view of the exchange rate as a shock absorber has been challenged by a number of studies. Therefore, it … decomposition of the exchange rate do not allow us to reject a shock-absorbing role of the exchange rate for the Czech economy. To … conclude that the shock-absorbing nature of the exchange rate prevails over shock generating one …
Persistent link: https://www.econbiz.de/10013081048
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Monetary policy shocks and exchange rate dynamics in small open economies
Doko Tchatoka, Firmin; Haque, Qazi; Terrell, Madison - 2022
In this paper we provide new insights on the dynamics between monetary policy shocks and real exchange rates in small open economies using a time-varying structural vector autoregression model with stochastic volatility. Identification is achieved using a combination of short-run and long-run...
Persistent link: https://www.econbiz.de/10013306271
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Exchange rate and price dynamics at the zero lower bound : conference paper
Bäurle, Gregor; Kaufmann, Daniel - 2013
the price level to a temporary risk shock are permanent. Our theoretical discussion shows that adopting a credible long …
Persistent link: https://www.econbiz.de/10010340556