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Exchange rate dynamics and monetary policy : evidence from a non-linear DSGE-VAR approach

Huber, Florian; Rabitsch, Katrin - 2019

Persistent link: https://www.econbiz.de/10012138216

Exchange rate dynamics and monetary policy : evidence from a non-linear DSGE-VAR approach

Huber, Florian; Rabitsch, Katrin - 2019

volatility. Since exchange rate volatility is not observed, we estimate it alongside the remaining quantities in the model. Our … increase in exchange rate volatility. Historical and forecast error variance decompositions indicate that monetary policy … shocks explain an appreciable amount of exchange rate movements and the corresponding volatility. …

Persistent link: https://www.econbiz.de/10012118186

Wechselkurszielzonen und Geldpolitik : Voraussetzungen für die Tragfähigkeit eines Zielzonensystems

Radeck, Karin - 2001

Persistent link: https://www.econbiz.de/10001565419

The impact of monetary regime on the exchange rate pass-through under exchange rate volatility : dynamic panel data approach

Kazerooni, Ali Reza; Salmani, Behzad; Feshari, Majid - In: Iranian economic review : journal of University of Tehran 17 (2013) 2, pp. 34-50

Persistent link: https://www.econbiz.de/10010243185

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

Persistent link: https://www.econbiz.de/10011389786