A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead...

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider...

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider...

A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead...

A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead...

Central bank intervention in foreign exchange markets is a common tool to influence exchange rates. Although central bankers are convinced of their policy's effectiveness, econometric estimates of precise effects differ across studies. The difficulties with estimations mostly result from a lack...

Central bank intervention in foreign exchange markets is a common tool to influence exchange rates. Although central bankers are convinced of their policy's effectiveness, econometric estimates of precise effects differ across studies. The difficulties with estimations mostly result from a lack...

Die Corona-Pandemie führt seit Beginn des Jahres zu einer schweren Krise der Weltwirtschaft, die sich - wie jede Krise - auch an den Devisenmärkten zeigt. Der Preis der dort gehandelten nationalen Währungen spiegelt die Stärke der jeweiligen Volkswirtschaft. Die großen Veränderungen der...

We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously,...