Monetary policy responses to the exchange rate: Empirical evidence from the ECB

Simple item page
dc.citation.epage70en_US
dc.citation.spage63en_US
dc.citation.volumeNumber39en_US
dc.contributor.authorDemir, İ.en_US
dc.date.accessioned2016-02-08T11:01:39Z
dc.date.available2016-02-08T11:01:39Z
dc.date.issued2014en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe exchange rate is an important part of the transmission mechanism in the determination of monetary policy because movements in the exchange rate have significant effect on the macroeconomy. It can be difficult to measure the reaction of monetary policy to the movements of the exchange rate, due to the simultaneous response of monetary policy to the exchange rate and the possibility that both variables respond to several other variables. This study addresses these problems by using an identification method based on the heteroscedasticity in the high-frequency data. The results in this paper suggest that the ECB systematically responds to exchange rate movements but that quantitative effects are small. Such a significant but small reaction coefficient seems consistent with the hypothesis that the central banks do not target the fluctuations in the exchange rate but consider them only to the extent they impact on the expected inflation and output path. © 2014 Elsevier B.V.en_US
dc.identifier.doi10.1016/j.econmod.2014.02.024en_US
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/11693/26565
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.econmod.2014.02.024en_US
dc.source.titleEconomic Modellingen_US
dc.subjectEuropean central banken_US
dc.subjectExchange ratesen_US
dc.subjectIdentification through heteroscedasticityen_US
dc.subjectMonetary policyen_US
dc.subjectMonetary policy reactionen_US
dc.titleMonetary policy responses to the exchange rate: Empirical evidence from the ECBen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Monetary policy responses to the exchange rate Empirical evidence from the ECB.pdf
Size:
493.87 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Department of Economics