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.
|ジャーナル||Journal of The Japanese and International Economies|
|出版ステータス||Published - 2004 3|
ASJC Scopus subject areas