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US Shocks and the Uncovered Interest Rate Parity

Fu, Bowen; Li, Mengheng - 2021

The literature on uncovered interest rate parity (UIP) shows two empirical puzzles. One is the failure of UIP, and the other is the unstable coefficients in the UIP regression. We propose a time-varying coefficients model with stochastic volatility and US structural shocks (TVC-SVX) to study how...

Persistent link: https://www.econbiz.de/10013225539

Innovation Accounting with Incomplete Identification of a Structural VAR – An Application to Exchange Rates

Rao, Vadhindran K. - 2015

Two main objectives of Structural Vector AutoRegression (SVAR) modeling are recovering structural shocks from reduced form shocks and Impulse-Response Analysis and Forecast error variance decomposition. As is well known, the first of these is possible only if the number of structural shocks is...

Persistent link: https://www.econbiz.de/10013036425

Monetary Policy and Exchange Rate Dynamics : The Exchange Rate as a Shock Absorber

Audzei, Volha - 2013

The traditional view of the exchange rate as a shock absorber has been challenged by a number of studies. Therefore, it … decomposition of the exchange rate do not allow us to reject a shock-absorbing role of the exchange rate for the Czech economy. To … conclude that the shock-absorbing nature of the exchange rate prevails over shock generating one …

Persistent link: https://www.econbiz.de/10013081048

An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach

Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on … indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the … last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal …

Persistent link: https://www.econbiz.de/10012795308

Time-Varying Dynamics of the Real Exchange Rate : A Structural VAR Analysis

Mumtaz, Haroon; Sunder-Plassmann, Laura - 2010

The aim of this paper is to explore the evolution of real exchange rate dynamics over time. We use a time-varying structural vector autoregression to investigate the role of demand, supply and nominal shocks and consider their impact on, and contribution to fluctuations in, the real exchange...

Persistent link: https://www.econbiz.de/10014197083

Monetary policy shocks and exchange rate dynamics in small open economies

Doko Tchatoka, Firmin; Haque, Qazi; Terrell, Madison - 2022

In this paper we provide new insights on the dynamics between monetary policy shocks and real exchange rates in small open economies using a time-varying structural vector autoregression model with stochastic volatility. Identification is achieved using a combination of short-run and long-run...

Persistent link: https://www.econbiz.de/10013306271

The universal shape of economic recession and recovery after a shock

Challet, Damien (contributor); Solomon, Sorin (contributor); … - 2009

We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. We then argue that it can be used to detect shocks and discuss its...

Persistent link: https://www.econbiz.de/10003789641

The universal shape of economic recession and recovery after a shock

Challet, Damien; Solomon, Sorin; Yaari, Gur - 2009

We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during times of recession and recovery. We then argue that this equation is the response function of the economy...

Persistent link: https://www.econbiz.de/10003881293

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...

Persistent link: https://www.econbiz.de/10010361372

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; Netšunajev, Aleksei - 2014

Persistent link: https://www.econbiz.de/10010364697