Reconciling narrative monetary policy disturbances with structural VAR model shocks?
نویسندگان
چکیده
منابع مشابه
The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach
This paper investigates the effects of shocks to U.S. monetary policy on the dollar/yen exchange rate, using structural Vector Error Correction Model (VECM) methods. We compare our estimates of the impulse responses with those based on levels Vector Autoregression. We also compare results from short run and long run restrictions imposed on the structural VECM. We find evidence of overshooting b...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2013
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2013.08.006