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The paper analyzes the sources of exchange rate movements in emerging economies in the context of monetary tapering by the Federal Reserve. A structural vector autoregression framework with a long-run restriction is used to decompose the movements of nominal ex-change rates into two components:...
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invoking the approach by Aoki (1981) commonly used in economic theory. Assuming country symmetry in the long-run allows to … in the case of a Bank of England monetary shock but suggests an instantaneous response to a Fed shock. Altogether the …
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