Similar Search Results

Multi-dimensional monetary policy shocks based on heteroscedasticity

Burri, Marc; Kaufmann, Daniel - 2024

We propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure...

Persistent link: https://www.econbiz.de/10015052047

Exchange rate overshooting : unraveling the puzzles

Braig, Miriam; Rüth, Sebastian; Van der Veken, Wouter - 2024

We solve a canonical, estimated, medium-sized, open-economy New Keynesian model, cast it into a small-scale population vector autoregression, and assess whether best-practice structural identifications detect textbook "overshooting" after a monetary policy hike-i.e., an instant real appreciation...

Persistent link: https://www.econbiz.de/10015069881

The impact of monetary policy on financial markets in small open economies : more or less effective during the global financial crisis?

Pennings, Steven; Ramayandi, Arief; Hsiao Chink Tang - 2011

This paper estimates the impact of monetary policy on exchange rates and stock markets for eight small open economies: Australia, Canada, the Republic of Korea, New Zealand, the United Kingdom, Indonesia, Malaysia and Thailand. On average across these countries, a one percentage point surprise...

Persistent link: https://www.econbiz.de/10011282915

Sources of real exchange rate fluctuations : how important are nominal shocks?

Clarida, Richard H.; Galí, Jordi - 1994

Persistent link: https://www.econbiz.de/10000883655

Some empirical evidence on the effects of monetary policy shocks on exchange rates

Eichenbaum, Martin S. - 1993

Persistent link: https://www.econbiz.de/10000857445

Stabilitätseinbußen durch die Europäische Währungsunion : theoretische und empirische Untersuchungen

Knoppik, Christoph - 1997

Persistent link: https://www.econbiz.de/10000613040

Responses of Argentine output to shocks to monetary policy, fiscal policy, and exchange rates : a VAR model

Hsing, Yu - In: Applied econometrics and international development 4 (2004) 1, pp. 21-36

Persistent link: https://www.econbiz.de/10003718640

Correcting China's trade imbalance : monetary means will not suffice

Zhang, Yin; Wan, Guanghua - In: Journal of policy modeling : JPMOD ; a social science … 30 (2008) 3, pp. 505-521

Persistent link: https://www.econbiz.de/10003743551

Monetary transmission mechanism in a small open economy : a Bayesian structural VAR approach

Bhuiyan, Rokon (contributor) - 2008

estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …. Finally, I find that Canadian variables significantly responds to the US federal funds rate shock, and external shocks are an …

Persistent link: https://www.econbiz.de/10003768853

Exchange rates and asymmetric shocks in small open economies

Alexius, Annika; Post, Erik - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 527-541

Persistent link: https://www.econbiz.de/10003776773