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Effects of monetary policy on the $/£ exchange rate : is there a 'delayed overshooting puzzle'?

Heinlein, Reinhold; Krolzig, Hans-Martin - 2011

The determination of the $/£ exchange rate is studied in a small symmetric macroeconometric model including UK-US differentials in inflation, output gap, short and long-term interest rates for the four decades since the breakdown of Bretton Woods. The key question addressed is the possible...

Persistent link: https://www.econbiz.de/10009410483

External shocks, US monetary policy and macroeconomic fluctuations in merging markets

Maćkowiak, Bartosz (contributor) - 2006

Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect quickly and strongly interest rates and the exchange rate in a typical emerging market. The price level and real output in...

Persistent link: https://www.econbiz.de/10003324420

International Prices, Monetary and Income Shocks : A SVAR Model of the External Trade Channel in African Economies

Assoumou-Ella, Giscard - 2017

intensity of this exposure depends on the transmission channel, type of external shock, specialization of each country and … domestic public policies. All the countries of the sample are at least exposed to one international shock. 13 countries are … exposed to real GDP OECD per capita shock, 10 countries to harmonized inflation in OECD countries. Of 7 countries that export …

Persistent link: https://www.econbiz.de/10012963199

Monetary Policy, Trade Openness and Economic Growth in India Under Monetary-targeting and Multiple-indicator Approach Regimes

Maitra, Biswajit - 2020

This article examines the role of monetary policy and trade openness to raise income in India for the monetary …

Persistent link: https://www.econbiz.de/10012831451

Infinite-variance, alpha-stable shocks in monetary SVAR : final working-paper version

Hannsgen, Greg - 2011

This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given the true distribution of the innovations in the...

Persistent link: https://www.econbiz.de/10009269228

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

Persistent link: https://www.econbiz.de/10011389786

Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611

How much have the dynamics of U.S. time series changed over the last century? Has the evolution of the Federal Reserve as an institution over the 100 years altered the transmission of monetary policy shocks? To tackle these questions, we build a multivariate time series model with time-varying...

Persistent link: https://www.econbiz.de/10011800671

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806

The Low-Frequency Impact of Daily Monetary Policy Shocks

Francis, Neville - 2012

With rare exception, studies of monetary policy tend to neglect the timing of innovations to monetary policy instruments. Models which take timing seriously are often difficult to compare to standard monetary VARs because each uses different frequencies. We propose using MIDAS regressions that...

Persistent link: https://www.econbiz.de/10013115013