Monetary policy and the exchange rate: Evidence from a two-country model

Autor:	Luke Willard, Graham Voss
Rok vydání:	2009
Předmět:	Credit channel Economics and Econometrics Interest rate parity Exchange rate Monetary policy Economics Monetary economics Real economy Monetary hegemony International finance Vector autoregression
Zdroj:	Journal of Macroeconomics. 31:708-720
ISSN:	0164-0704
DOI:	10.1016/j.jmacro.2008.09.002
Popis:	We present a two-country structural VAR model of monetary policy and the exchange rate for the US and Australia that allows us to identify both US and Australian monetary policy innovations. A key finding is the asymmetry in the effects of these innovations on the exchange rate, both the nature of the response and their relative importance. A second key finding is evidence of exchange rate disconnect: innovations to the real economy explain little of the variation in the exchange rate. We also consider the effects of exchange rate innovations and find evidence of slow but substantial pass through to domestic prices with evidence that the response of monetary policy is at least partially responsible for the slow adjustment.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::45cc1625c14745aa57bf3f9df7bb248f https://doi.org/10.1016/j.jmacro.2008.09.002 Zobrazit plný text záznamu Full Text from ScienceDirect