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
Pages
-254
From page
255
To page
0
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
Serial Year
2001
Journal title
Economics Letters
Record number
21679
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