New evidence on the puzzles : Results from agnostic identification on monetary policy and exchange rates

Lade...
Vorschaubild
Dateien
scholl_uhlig_JIE.pdf
scholl_uhlig_JIE.pdfGröße: 1.37 MBDownloads: 475
Datum
2008
Autor:innen
Uhlig, Harald
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Journal of International Economics. 2008, 76(1), pp. 1-13. Available under: doi: 10.1016/j.jinteco.2008.02.005
Zusammenfassung

Past empirical research on monetary policy in open economies has found evidence of the delayed overshooting puzzle and the forward discount puzzle . We revisit the effects of monetary policy on exchange rates by applying Uhlig's [Uhlig, H., 2005a. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52(2), 381 419.] identification procedure that involves sign restrictions on the impulse responses of selected variables. In a first step, we leave the response of the exchange rate agnostically open and find sizeable evidence for both puzzles. In a second step, we additionally rule out the delayed overshooting by construction. Our results indicate that the forward discount puzzle is robust even without delayed overshooting.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Vector autoregressions, Agnostic identification, Forward discount puzzle, Delayed overshooting, Exchange rates, Monetary policy
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690SCHOLL, Almuth, Harald UHLIG, 2008. New evidence on the puzzles : Results from agnostic identification on monetary policy and exchange rates. In: Journal of International Economics. 2008, 76(1), pp. 1-13. Available under: doi: 10.1016/j.jinteco.2008.02.005
BibTex
@article{Scholl2008evide-11982,
  year={2008},
  doi={10.1016/j.jinteco.2008.02.005},
  title={New evidence on the puzzles : Results from agnostic identification on monetary policy and exchange rates},
  number={1},
  volume={76},
  journal={Journal of International Economics},
  pages={1--13},
  author={Scholl, Almuth and Uhlig, Harald}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/11982">
    <dc:language>eng</dc:language>
    <dc:creator>Uhlig, Harald</dc:creator>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11982/1/scholl_uhlig_JIE.pdf"/>
    <dc:contributor>Scholl, Almuth</dc:contributor>
    <dc:contributor>Uhlig, Harald</dc:contributor>
    <dcterms:issued>2008</dcterms:issued>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:32Z</dcterms:available>
    <dcterms:abstract xml:lang="eng">Past empirical research on monetary policy in open economies has found evidence of the  delayed overshooting puzzle  and the  forward discount puzzle . We revisit the effects of monetary policy on exchange rates by applying Uhlig's [Uhlig, H., 2005a. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52(2), 381 419.] identification procedure that involves sign restrictions on the impulse responses of selected variables. In a first step, we leave the response of the exchange rate agnostically open and find sizeable evidence for both puzzles. In a second step, we additionally rule out the delayed overshooting by construction. Our results indicate that the forward discount puzzle is robust even without delayed overshooting.</dcterms:abstract>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:32Z</dc:date>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11982/1/scholl_uhlig_JIE.pdf"/>
    <dcterms:bibliographicCitation>First publ. in: Journal of International Economics 76 (2008), 1, pp. 1 13</dcterms:bibliographicCitation>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:format>application/pdf</dc:format>
    <dcterms:title>New evidence on the puzzles : Results from agnostic identification on monetary policy and exchange rates</dcterms:title>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/11982"/>
    <dc:creator>Scholl, Almuth</dc:creator>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen