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Conditional exchange rate pass-through: Evidence from Sweden
Corbo, Vesna; Di Casola, Paola - 2018
The pass-through from exchange rate changes to inflation differs depending on the underlying shock. This paper quantifies the conditional exchange rate pass-through (CERPT) to prices, i.e. the change in prices relative to that in the exchange rate following a certain exogenous shock, with a...
Persistent link: https://www.econbiz.de/10011943322
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How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence
Bjørnland, Hilde C.; Halvorsen, Jørn Inge - 2008
This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...
Persistent link: https://www.econbiz.de/10012143695
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Monetary Policy and Exchange Rate Overshooting: Dornbusch Was Right After All
Bjørnland, Hilde C. - 2009
Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet …, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This … the Dornbusch overshooting hypothesis and with few exceptions consistent with UIP. …
Persistent link: https://www.econbiz.de/10012143714
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The link between interest rates and exchange rates: do contractionary depreciations make a difference?
Sánchez, Marcelo - 2005
The link between exchange rates and interest rates features prominently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes...
Persistent link: https://www.econbiz.de/10011604594
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How does information affect the comovement between interest rates and exchange rates?
Sánchez, Marcelo - 2006
This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...
Persistent link: https://www.econbiz.de/10011604654
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How does monetary policy respond to exchange rate movements? New international evidence
Bjørnland, Hilde C.; Halvorsen, Jørn I. - Norges Bank - 2008
This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...
Persistent link: https://www.econbiz.de/10005481446
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Monetary Policy in East Asia: the Case of Singapore
McCallum, Bennett T. - Institute for Monetary and Economic Studies, Bank of Japan - 2007
The Monetary Authority of Singapore (MAS) conducts policy by adjusting the Singapore dollarfs effective exchange rate so as to achieve macroeconomic goals for the economyfs inflation rate and output gap. Estimates of a policy rule of the Taylor type, except with exchange rate appreciation...
Persistent link: https://www.econbiz.de/10004971206
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The Effect of Monetary Policy on Exchange Rates : How to Solve the Puzzles
Kumah, F.Y. - Tilburg University, Center for Economic Research - 1996
Recent empirical research on the effects of monetary policy shocks on exchange rate fluctuations have encountered the exchange rate puzzle and th e forward discount bias puzzle.The exchange rate puzzle is the tendency of the domestic currency (of non-US G-7 countries) to depreciate against the...
Persistent link: https://www.econbiz.de/10011092111
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Reserve Requirement Policy over the Business Cycle
Federico, Pablo; Vegh, Carlos A.; Vuletin, Guillermo - Institute for Monetary and Economic Studies, Bank of Japan - 2014
Based on a novel quarterly dataset for 52 countries for the period 1970-2011, we analyze the use and cyclical properties of reserve requirements (RR) as a macroeconomic stabilization tool and whether RR policy substitutes or complements monetary policy. We find that (i) around two thirds of...
Persistent link: https://www.econbiz.de/10010888625
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Monetary policy and exchange rate overshooting: Dornbusch was right after all
Bjørnland, Hilde C. - Norges Bank - 2009
Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet …, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This … the Dornbusch overshooting hypothesis and with few exceptions consistent with UIP. …
Persistent link: https://www.econbiz.de/10004997867