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

In U.S. data, inflation and output are negatively related in the long run. A Bayesian VAR with stochastic trends generalized to be piecewise linear provides robust reduced-form evidence in favor of a threshold level of trend inflation of around 4%, below which potential output is independent of...

We examine the effects of three facets of monetary policy in Australia using high-frequency yield changes around RBA announcements: current policy; signalling/forward guidance; and changes in premia. Shocks to current policy have similar effects to those identified using conventional approaches,...