New evidence on the effects of US monetary policy on exchange rates
Kalyvitis, S. & Michaelides, A.
(2001).
New evidence on the effects of US monetary policy on exchange rates.
Economics Letters,
71(2), 255-263.
https://doi.org/10.1016/S0165-1765(01)00375-5
We examine the impact of US monetary policy shocks on exchange rates using the monetary policy indicator proposed by Bernanke and Mihov [Quarterly Journal of Economics, 113 (1998) 869–902]. We find evidence for instantaneous, rather than delayed, US dollar overshooting after a monetary shock when relative output and relative prices are included in the VAR specification. The forward premium puzzle persists due to the interest rate differential response.
| Item Type | Article |
|---|---|
| Copyright holders | Copyright © 2001 Elsevier Science B.V. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright own |
| Departments |
LSE > Research Centres > Financial Markets Group LSE > Academic Departments > Economics |
| DOI | 10.1016/S0165-1765(01)00375-5 |
| Date Deposited | 29 Jun 2006 |
| URI | https://researchonline.lse.ac.uk/id/eprint/197 |
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