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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

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

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2022

response to an asymmetric negative demand shock in a zero lower bound (ZLB) scenario and exacerbates the adverse macroeconomic … effects. However, when monetary policy is able to accommodate the adverse effects of the negative demand shock via … channels empirically. We estimate the effect of a negative asymmetric demand shock on the real exchange rate and inflation …

Persistent link: https://www.econbiz.de/10013368638

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999 - 2000

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

Persistent link: https://www.econbiz.de/10001584428

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

: aggregate supply shocks, aggregate spending shocks, and monetary shocks. Applying a structural VAR to data for the eurozone and …

Persistent link: https://www.econbiz.de/10011473872

The ECB'’s unconventional monetary policy and the role of exchange rate regimes in cross-country spillovers

Jensen, Jakob Roager; Mikkelsen, Jakob Guldbæk; … - 2017

We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

Persistent link: https://www.econbiz.de/10011740711

Foreign exchange interventions at the zero lower bound in the Czech economy : a DSGE approach

Malovaná, Simona - 2015

macroeconomic variables in response to the domestic demand shock, the foreign demand and financial shocks and the terms …-of-trade shock at the ZLB. This effects become severe in response to highly persistent shocks which leads to stronger reaction of …

Persistent link: https://www.econbiz.de/10010532424

The effects of conventional and unconventional monetary policy : identification through the yield curve

Kortela, Tomi; Nelimarkka, Jaakko - 2020

Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This...

Persistent link: https://www.econbiz.de/10012160681

Exchange rate behavior with negative interest rates : some early negative observations

Hameed, Allaudeen; Rose, Andrew - 2017

This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and...

Persistent link: https://www.econbiz.de/10011626278

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates

Ferrari, Massimo - 2017

We show that the FX impact of monetary policy has been growing significantly. We use a high-frequency event study of the joint response of fixed income instruments and exchange rates to monetary policy news from seven major central banks spanning 2004-2015. News affecting short maturity bonds...

Persistent link: https://www.econbiz.de/10012962972

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates

Ferrari, Massimo - 2017

Persistent link: https://www.econbiz.de/10012958823