| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2067 |
| DP2067 The European Central Bank: Decision Rules and Macroeconomic Performance | |
| Paul De Grauwe; Hans Dewachter; Yunus Aksoy | |
| 发表日期 | 1999-02-28 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | The empirical VAR literature on the monetary transmission mechanism in open economies has not yet provided a commonly accepted solution to the problem of simultaneity between interest rates and the exchange rate. In this paper we propose to solve the identification problem by using information extracted from financial markets independently from the VAR to measure monetary policy shocks. We also evaluate the relative importance of macroeconomic and monetary policy variables in explaining short-term fluctuations in the nominal exchange rate. Our main results are that the simultaneity between German policy rates and the US\ dollar/D Mark exchange rate is not an empirically relevant problem, and that monetary variables are dominated by macroeconomic factors in the explanation of exchange rate fluctuations. |
| 主题 | International Macroeconomics |
| 关键词 | Exchange rates Implicit forward rate curve monetary policy Var models |
| URL | https://cepr.org/publications/dp2067 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531187 |
| 推荐引用方式 GB/T 7714 | Paul De Grauwe,Hans Dewachter,Yunus Aksoy. DP2067 The European Central Bank: Decision Rules and Macroeconomic Performance. 1999. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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