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An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach
Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16
rates by estimating the structural vector autoregressive (SVAR) model over the period January 1994-May 2021 and decomposing …
Persistent link: https://www.econbiz.de/10012795308
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How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence
Bjørnland, Hilde C.; Halvorsen, Jørn Inge - 2008
This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...
Persistent link: https://www.econbiz.de/10012143695
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Macroeconomic trade effects of vehicle currencies: Evidence from 19th century China
El-Shagi, Makram; Zhang, Lin - 2016
We use the Chinese experience between 1867 and 1910 to illustrate how the volatility of vehicle currencies affects trade. Today's widespread vehicle currency is the dollar. However, the macroeconomic effects of this use of the dollar have rarely been addressed. This is partly due to...
Persistent link: https://www.econbiz.de/10011500790
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How does monetary policy respond to exchange rate movements? New international evidence
Bjørnland, Hilde C.; Halvorsen, Jørn I. - Norges Bank - 2008
This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...
Persistent link: https://www.econbiz.de/10005481446
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Exchange rate modelling for Lithuania and Switzerland
Rimgailaite, Ramune - Volkswirtschaftliche Fakultät, … - 2012
In this research, the equilibrium real exchange rate as well as exchange rate misalignment in Switzerland and Lithuania is estimated based on behavioural equilibrium exchange rate and structural vector autoregression models. Moreover, driving forces of the real effective exchange rate are...
Persistent link: https://www.econbiz.de/10011109074
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Identifying Determinants of Germany's International Price Competitiveness: A Structural VAR Approach
Meurers, Martin - Economics Department, Organisation de Coopération et … - 2006
The paper employs a structural vector auto-regression (SVAR) along the lines of Blanchard and Quah (1989) and Clarida … (1989) et de Clarida et Gali (1994), les auteurs s’appuient sur un modèle vectoriel autorégressif structurel (SVAR) pour …
Persistent link: https://www.econbiz.de/10005045622
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How does monetary policy respond to exchange rate movements? New international evidence
Bjørnland, Hilde Christiane; Halvorsen, Jørn Inge - Centre for Applied Macro- and Petroleum economics … - 2010
This paper analyzes how monetary policy has responded to exchange rate movements in six open economies, paying particular attention to the two-way interaction between monetary policy and the exchange rate. We address this issue using a structural VAR model that is identified using a combination...
Persistent link: https://www.econbiz.de/10010553110
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The Shock-Absorbing Capacity of the Flexible Exchange Rate in Poland
Stazka-Gawrysiak, Agnieszka - In: Focus on European Economic Integration (2009) 4, pp. 54-70
-absorbing capacity of flexible exchange rates. This paper analyzes, within a Structural Vector Autoregressive (SVAR) framework, the role …: First, we expand the prevailing SVAR models to include a financial market shock, defined as a stochastic change in a country …
Persistent link: https://www.econbiz.de/10008623548
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Macroeconomic trade effects of vehicle currencies : evidence from 19th century China
El-Shagi, Makram; Zhang, Lin - 2016
We use the Chinese experience between 1867 and 1910 to illustrate how the volatility of vehicle currencies affects trade. Today’s widespread vehicle currency is the dollar. However, the macroeconomic effects of this use of the dollar have rarely been addressed. This is partly due to...
Persistent link: https://www.econbiz.de/10011500162
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The importance of real and nominal shocks on the UK housing market
Narayan, Paresh Kumar; Narayan, Seema - Deakin University, Faculty of Business and Law, School … - 2011
The goal of this paper is to examine the responsiveness of the UK housing market to real and nominal shocks. To achieve this goal, we use a structural VAR model, based on quarterly data for the period 1957:1-2009:4. We find that in response to an interest rate shock, house prices (aggregate...
Persistent link: https://www.econbiz.de/10009274394