Showing 1 - 10 of 6,212
Regression model for the period 1995Q1 to 2018Q2. The empirical evidence reveals the existence of two inflation regimes during … the period under review. Food inflation, energy inflation, firms’ marginal cost, and imported inflation account for most … exchange rate solely explains price changes in the composite consumers’ basket when inflation switches to high regime …
Persistent link: https://www.econbiz.de/10012178169
inflation volatility.Also, causality tests results indicate that changes in the exchangerate, output gap volatility, and output … gap will have permanent andtemporary causal effects on inflation volatility. The policymakersshould carefully consider … these results to implement appropriatepolicies to reduce inflation volatility. The finding that the shocks areof temporary …
Persistent link: https://www.econbiz.de/10014312187
standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility …Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a …. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited …
Persistent link: https://www.econbiz.de/10012843500
Using confidential daily data, we analyse how the intervention episode of the Bank of Israel (BOI) from 2013 to 2019 has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that interventions amounting to US dollar (USD) 1 billion are...
Persistent link: https://www.econbiz.de/10013259481
This work investigates effects of conventional monetary policy and central bank information shocks from monetary policy announcements on the U.S. economy. We identify the surprises caused by changes in target rate and central bank’s private information embedded in high frequency exchange rate...
Persistent link: https://www.econbiz.de/10012304714
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy...
Persistent link: https://www.econbiz.de/10012295246
Persistent link: https://www.econbiz.de/10011715915
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
The paper contributes to understanding the economic dynamics at the zero lower bound and the exchange rate movements under different central bank intervention regimes. It provides a theoretical framework for modeling foreign exchange interventions at the ZLB within a dynamic general equilibrium...
Persistent link: https://www.econbiz.de/10010532424
, we explore the possibility that term premiums affect inflation and the real economy via exchange rate dynamics. For this … Japanese inflation rates via exchange rate dynamics …
Persistent link: https://www.econbiz.de/10012869821