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A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose a new focus: incorporating the underlying shocks that cause exchange rate fluctuations when evaluating how these fluctuations "pass through" into import and consumer prices. We...
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idiosyncratic shocks. Even when prices are flexible and inflation can costlessly act as a shock absorber to restore fiscal …
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Well-anchored inflation expectations should not react to short-term oriented macroeconomic news. This paper analyzes the dynamic response of inflation expectations to macro news shocks in a structural VAR model. As identification of structural macro news shocks is controversial, we use a proxy...
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We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...
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innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …
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After an expansionary monetary policy shock employment increases and unemployment falls. In standard New Keynesian …
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