Title of article :
New evidence on the effects of US monetary policy on exchange rates
Author/Authors :
Kalyvitis، Sarantis نويسنده , , Michaelides، Alexander نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
We examine the impact of US monetary policy shocks on exchange rates using the monetary policy indicator proposed by Bernanke and Mihov [Quarterly Journal of Economics, 113 (1998) 869¯902]. We find evidence for instantaneous, rather than delayed, US dollar overshooting after a monetary shock when relative output and relative prices are included in the VAR specification. The forward premium puzzle persists due to the interest rate differential response
Keywords :
Markov process , reversibility , Dynamic factors , Nonlinear , Canonical analysis
Journal title :
Economics Letters
Journal title :
Economics Letters
