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Some empirical evidence on the effects of monetary policy shocks on exchange rates

Martin Eichenbaum

Some empirical evidence on the effects of monetary policy shocks on exchange rates

by Martin Eichenbaum

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  • 22 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Foreign exchange rates -- Effect of monetary policy on -- Econometric models.,
  • Monetary policy -- United States.

  • Edition Notes

    StatementMartin Eichenbaum, CharlesEvans.
    SeriesNBER working paper series -- no.4271
    ContributionsEvans, Charles, 1958-, National Bureau of Economic Research.
    The Physical Object
    Pagination29, [17]p. :
    Number of Pages29
    ID Numbers
    Open LibraryOL19592431M

    This paper presents new empirical evidence regarding the cyclical response of foreign economies to U.S. monetary shocks. We make use of a large dataset exploiting the time-series and cross-sectional variation of foreign economies in their exchange rate regime, trade openness, and an index of their external vulnerability. Eichenbaum, M. and C. Evans (), ‘Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates,’ Quarterly Journal of Economics, November , pp. Eika, K.H., N. Ericsson, and R. Nymoen (), ‘Understanding a Monetary Conditions Index,’ forthcoming in International Finance Discussion Papers.

    Empirical results show that a monetary contraction appreciates the exchange rate in the short run as predicted by standard theory. To explore the channels by which monetary policy shocks affect exchange rates, the effects of these shocks . Previous studies of the sources of real exchange rate fluctuations have concluded that real demand shocks account for the bulk of the movements in real exchange rates. In this paper, bilateral real exchange rates between the US, the UK, Germany and Japan are investigated using a statistical approach that allows for long-run equilibrium relationships between real exchange rates .

    Eichenbaum, M. and C. Evans, `Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates,' Quarterly Journal of Economics, (4), November , pages Reprinted in New Developments in Exchange Rate Economics, edited by L. Sarno and M.P. Taylor, , Edward Elgar Publishing Ltd., Northampton, MA. Although there is some empirical testing of financial dollarization effects on monetary policy performance in the inflation targeting regime for some countries, such studies for Serbia mostly cover periods of early application of the regime. Pass-Through of Exchange Rates to Prices in Serbia: (National Bank of Serbia Working Paper.


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Some empirical evidence on the effects of monetary policy shocks on exchange rates by Martin Eichenbaum Download PDF EPUB FB2

Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates Author(s): Martin Eichenbaum and Charles L. Evans Source: The Quarterly Journal of Economics, Vol.No. 4, (Nov., ), pp. Cited by: This paper presents new empirical evidence on the effects of monetary policy shocks on U.S.

exchange rates, both nominal and real. Three measures of monetary policy shocks are considered: orthogonalized shocks to the Federal Funds rate, the ratio of Non Borrowed to Total Reserves and the Romer and Romer () by:   Abstract.

This paper investigates the effects of shocks to U. monetary policy on exchange rates. We consider three measures of these shocks: orthogonalized shocks to the federal funds rate, orthogonalized shocks to the ratio of nonborrowed to total reserves and changes in the Romer and Romer index of monetary by: Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates Article (PDF Available) in Quarterly Journal of Economics (4).

M. Eichenbaum, C. EvansSome empirical evidence on the effects of shocks to monetary policy on exchange rates. Quarterly Journal of Economics, (4) (), pp. Google Scholar. Evans, C.

EvansInterest rate shocks and the dollar. Economic Perspectives, Federal Reserve Bank of Chicago, 18 (), pp. Cited by: Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates.

Martin Eichenbaum and Charles Evans (). The Quarterly Journal of Economics,vol.issue 4, Abstract: This paper investigates the effects of shocks to U. monetary policy on exchange rates.

We consider three measures of these shocks: orthogonalized shocks. The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds. Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates.

monetary policy and exchange. Figure 2 shows the effects of a contractionary monetary policy shock for the first model. The US dollar exhibits substantial and persistent appreciation in real value. In contrast to the results in the VECM with long-run restrictions, the real exchange rate keeps decreasing for twenty months and exhibits delayed overshooting behavior.

12 There is no evidence of the. SOME EMPIRICAL EVIDENCE ON THE EFFECTS OF SHOCKS TO MONETARY POLICY ON EXCHANGE RATES MARTIN EICHENBAUM AND CHARLES L. EVANS • What are the effects of U.S.

monetary policy on exchange rates. • VAR ‐ • [CPI (P), IP (Y), ratio of nonborrowed to total reserves. monetary policy shocks a⁄ect real exchange rates is via changes in in⁄ation expectations, we should not see any e⁄ects of monetary policy on real exchange rates.

We –nd that, in the unconventional period, a real, expansionary US monetary policy shock depreciates the. Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates. Abstract: This paper presents new empirical evidence on the effects of monetary policy shocks on U.S.

exchange rates, both nominal and real. Three measures of monetary policy shocks are considered: orthogonalized shocks to the Federal Funds rate, the ratio of Non Borrowed to Total Reserves and the Romer and Romer () index.

The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds. NBER Working Paper No. w Martin and Evans, Charles L., The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds (April ). NBER Working Paper No. w Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates.

Eichenbaum and Evans: w Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates: Bernanke, Boivin, and Eliasz: w Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach: Christiano, Eichenbaum, and Evans: w Monetary Policy Shocks: What Have We Learned and to.

This paper investigates the effects of shocks to U S monetary policy on exchange rates We consider three measures of these shocks orthogonalized shocks to the federal funds rate, orthogonalized shocks to the ratio of nonborrowed to total reserves arid changes in the Romer and Romer index of monetary policy In sharp contrast to the literature, we find substantial evidence.

This paper presents new empirical evidence to support the hypothesis that positive money supply shocks drive short-term interest rates down. We then present a q The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds. Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates.

Section 2. Empirical Evidence The goal of the paper is to establish both empirical evidence and a theoretical model concerning the international transmission of macroeconomic policy. In this section, we present some empirical evidence regarding the effects of monetary policy shocks for output levels, real exchange rates, and interest rates [2].

In general, the empirical evidence found in these studies suggests an adverse impact of monetary policy easing on net interest margins and profits (Alessandri and Nelson, ), with amplification effects in low and protracted interest rate environments (Borio et al., ; Claessens et al., ).

Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates. By Martin Eichenbaum and Charles L Evans. Abstract. This paper investigates the effects of shocks to U.S.

monetary policy on exchange rates. We consider three measures of these shocks: orthogonalized shocks to the federal funds rate, orthogonalized shocks to Author: Martin Eichenbaum and Charles L Evans. Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates', ().

The Availability Doctrine', (). The Business Cycle with Nominal Contracts', (). The Cyclical Behavior of Short Term Business Lending: Implications for Financial Propagation Mechanisms', Federal Reserve Board of Governors.

The present study provides new empirical evidence on the effects of monetary policy shocks (domestic and international monetary policy) on equity returns in an emerging economy (i.e., Malaysia) for – using firm-level data. Using an augmented Fama-French (, ) multifactor model, empirical results based on system GMM estimations and a sample of .monetary impulses on investment spending as well as on real economic activity.

As a result, financial accelerator effects of monetary policy are likely to be reduced and monetary authorities will lose some of their power to affect real economic activity by monetary policy measures.

This paper is organised as follows.Eichenbaum, Martin; Evans, Charles L./ Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange : The Quarterly Journal of Economics. ; Cited by: