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

Kurzanzeige
dc.contributor.authorScholl, Almuth
dc.contributor.authorUhlig, Haralddeu
dc.date.accessioned2011-03-25T09:41:32Zdeu
dc.date.available2011-03-25T09:41:32Zdeu
dc.date.issued2008deu
dc.description.abstractPast 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.eng
dc.description.versionpublished
dc.format.mimetypeapplication/pdfdeu
dc.identifier.citationFirst publ. in: Journal of International Economics 76 (2008), 1, pp. 1 13deu
dc.identifier.doi10.1016/j.jinteco.2008.02.005
dc.identifier.ppn305682032deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/11982
dc.language.isoengdeu
dc.legacy.dateIssued2009deu
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectVector autoregressionsdeu
dc.subjectAgnostic identificationdeu
dc.subjectForward discount puzzledeu
dc.subjectDelayed overshootingdeu
dc.subjectExchange ratesdeu
dc.subjectMonetary policydeu
dc.subject.ddc330deu
dc.titleNew evidence on the puzzles : Results from agnostic identification on monetary policy and exchange rateseng
dc.typeJOURNAL_ARTICLEdeu
dspace.entity.typePublication
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  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}
}
kops.citation.iso690SCHOLL, 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.2008.02.005deu
kops.citation.iso690SCHOLL, 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.2008.02.005eng
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