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An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach
Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16
years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on … indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the … last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal …
Persistent link: https://www.econbiz.de/10012795308
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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
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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Shifts in monetary policy and exchange rate dynamics : is Dornbusch's overshooting hypothesis intact, after all?
Rüth, Sebastian - 2019
How do nominal exchange rates adjust after surprise contractions in monetary policy? While the seminal contribution by Dornbusch provides concise predictions - exchange rates appreciate, i.e., overshoot on impact before depreciating gradually - empirical support for his hypothesis is at best...
Persistent link: https://www.econbiz.de/10012124364
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Nonlinear pass-through of exchange rate shocks on inflation : a Bayesian smooth transition VAR approach
Rincón Castro, Hernán; Rodríguez-Niño, Norberto - 2016
short and long-term impact of an exchange rate shock on inflation along the distribution chain in the presence of … shock to a maximum of around 66% in the first year. The equivalent figures on the inflation of producer goods go from 13% to …
Persistent link: https://www.econbiz.de/10011554700
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Modeling Covered Interest Parity Deviations - A Structural VAR Approach
Rao, Vadhindran K. - 2012
postulated – a country risk premium shock, an inflation rate differential shock and a forward market shock. Long run restrictions …
Persistent link: https://www.econbiz.de/10013113971
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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
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Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
longer have options of using monetary policy to respond to local conditions. In fact, a common exchange rate shock, in the …
Persistent link: https://www.econbiz.de/10011346364
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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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Time-Varying Dynamics of the Real Exchange Rate : A Structural VAR Analysis
Mumtaz, Haroon; Sunder-Plassmann, Laura - 2010
The aim of this paper is to explore the evolution of real exchange rate dynamics over time. We use a time-varying structural vector autoregression to investigate the role of demand, supply and nominal shocks and consider their impact on, and contribution to fluctuations in, the real exchange...
Persistent link: https://www.econbiz.de/10014197083
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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