The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach

Kyungho Jang, Masao Ogaki

研究成果: Article査読

25 被引用数 (Scopus)

抄録

This paper investigates the effects of shocks to US monetary policy on the dollar-yen exchange rate, using structural Vector error correction model (VECM) methods with long-run restrictions. We compare our estimates of the impulse responses with those based on levels Vector autoregression (VAR) with standard recursive order restrictions. The empirical results based on the long-run restrictions are found to be more consistent with standard models of exchange rate determination than the results based on the recursive order restrictions.

本文言語English
ページ(範囲)99-114
ページ数16
ジャーナルJournal of The Japanese and International Economies
18
1
DOI
出版ステータスPublished - 2004 3
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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