We analyze the interaction between monetary policy in the US and the global economy, using a global vector autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock leads to a persistent fall in international...

The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...