Monetary policy effects on output and exchange rates: Results from US, UK and Japan

Autor:	Mustafa Caglayan, Kostas Mouratidis, Elham Saeidinezhad
Rok vydání:	2011
Předmět:	monetary shocks business cycles exchange rate puzzle price puzzle vector autoregression jel:E1 jel:E3 jel:C3
Popis:	We investigate the effects of "contractionary" monetary shocks by imposing sign restrictions on the impulse responses of macroeconomic variables up to six months while allowing industrial production and exchange rate to be completely determined by the data. We show that i) the effect of an adverse monetary policy shock on industrial production is ambiguous; ii) there is price puzzle for Japan and UK which we conjecture as an outcome of excessive bank lending and poor regulation but not of passive monetary policy; ii) there is delayed overshooting puzzle for Japan and the exchange rate puzzle for the UK and the US.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::cf9fff95d080c1b665933840bab05a9b http://www.shef.ac.uk/economics/research/serps/articles/2011_016.html Zobrazit plný text záznamu