Publikation:

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

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2008

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Uhlig, Harald

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-77596
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https://doi.org/10.1016/j.jinteco.2008.02.005
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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

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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}
}
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