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The shocks matter : improving our estimates of exchange rate pass-through

Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2015

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...

Persistent link: https://www.econbiz.de/10011384119

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the...

Persistent link: https://www.econbiz.de/10012138448

Do exchange rates absorb demand shocks at the ZLB?

Hoffmann, Mathias; Hürtgen, Patrick - 2021

appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …

Persistent link: https://www.econbiz.de/10012510174

Are there bubbles in the Sterling-dollar Exchange Rate? : new evidence from Sequential ADF Tests

Bettendorf, Timo; Chen, Wenjuan - 2012

There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. Standard unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse. This paper introduces recently developed sequential unit...

Persistent link: https://www.econbiz.de/10009704893

Money Supply Rules and Exchange Rate Dynamics

Tervala, Juha - 2010

This paper examines the implications of monetary policy rules for exchange rate dynamics. I extend a standard New Open Economy Macroeconomics model with the introduction of a simple money supply rule, whereby central banks change their monetary policy if output diverges from potential output or...

Persistent link: https://www.econbiz.de/10012503016

Global monetary and financial spillovers : evidence from a new measure of Bundesbank policy shocks

Cloyne, James S.; Hürtgen, Patrick; Taylor, Alan M. - 2022

Identifying exogenous variation in monetary policy is crucial for investigating central bank policy transmission. Using newly-collected archival real-time data utilized by the Central Bank Council of the German Bundesbank, we identify unexpected changes in German monetary policy from 580 policy...

Persistent link: https://www.econbiz.de/10013361910

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641

Shocks versus structure : explaining differences in exchange rate pass-through across countries and time

Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2017

We show that exchange rate pass-through to consumer prices varies not only across countries, but also over time. Previous literature has highlighted the role of an economy's "structure" - such as its inflation volatility, inflation rate, use of foreign currency invoicing, and openness - in...

Persistent link: https://www.econbiz.de/10011671018

On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the … output, confirming its shock-absorbing capacity before and during the ZLB episode. The stabilizing role of the exchange rate …

Persistent link: https://www.econbiz.de/10014320485

The impact of monetary instruments on shock absorption in EU-countries

Müller, Claudia; Buscher, Herbert S. - 1999

The main characteristic of the implementation of the European Monetary Union (EMU) is the transition from various national currencies to the Euro, the common European currency. A final fixing of the individual bilateral exchange rates of all European countries involved in the Monetary Union...

Persistent link: https://www.econbiz.de/10013428212

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