Direkt zum Inhalt
  1. Publizieren |
  2. Suche |
  3. Browsen |
  4. Neuzugänge rss |
  5. Open Access |
  6. Rechtsfragen |
  7. EnglishCookie löschen - von nun an wird die Spracheinstellung Ihres Browsers verwendet.

Shifts in Monetary Policy and Exchange Rate Dynamics: Is Dornbusch's Overshooting Hypothesis Intact, After all?

Rüth, Sebastian K.

[thumbnail of Rueth_2019_dp673.pdf] PDF, Englisch - Hauptdokument
Download (614kB) | Nutzungsbedingungen

Zitieren von Dokumenten: Bitte verwenden Sie für Zitate nicht die URL in der Adresszeile Ihres Webbrowsers, sondern entweder die angegebene DOI, URN oder die persistente URL, deren langfristige Verfügbarkeit wir garantieren. [mehr ...]

Abstract

How do nominal exchange rates adjust after surprise contractions in monetary policy? While the seminal contribution by Dornbusch provides concise predictions -exchange rates appreciate, i.e., overshoot on impact before depreciating gradually - empirical support for his hypothesis is at best mixed. I argue that the failure to discover overshooting may result from assumptions researchers have imposed to recover structural VARs. Specifically, simultaneous feedback effects between interest rates and exchange rates, which are inherently forward-looking variables, are often excluded or modeled alongside with strong restrictions. In this paper, I identify U.S. monetary policy shocks using surprises in Federal funds futures around policy announcements as external instruments, which recent literature has established to represent the appropriate laboratory in settings encompassing macroeconomic and financial variables. Resulting adjustments of the dollar, conditional on shifts in policy, generally align with Dornbusch's predictions during the post-Bretton-Woods era, including Volcker's tenure as Fed Chair.

Dokumententyp: Arbeitspapier
Name der Reihe: Discussion Paper Series / University of Heidelberg, Department of Economics
Band: 0673
Ort der Veröffentlichung: Heidelberg
Erstellungsdatum: 13 Nov. 2019 13:16
Erscheinungsjahr: November 2019
Seitenanzahl: 29
Institute/Einrichtungen: Fakultät für Wirtschafts- und Sozialwissenschaften > Alfred-Weber Institut
DDC-Sachgruppe: 330 Wirtschaft
Freie Schlagwörter: nominal exchange rate, monetary policy shock, external instrument, structural vector autoregression
Schriftenreihe: Discussion Paper Series / University of Heidelberg, Department of Economics
Leitlinien | Häufige Fragen | Kontakt | Impressum |
OA-LogoDINI-Zertifikat 2013Logo der Open-Archives-Initiative