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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP15242 |
DP15242 International Evidence on Shock-Dependent Exchange Rate Pass-Through | |
Kristin Forbes; Ida Hjortsoe; Tsvetelina Nenova | |
发表日期 | 2020-09-01 |
出版年 | 2020 |
语种 | 英语 |
摘要 | We analyse the economic conditions (the “shocks”) behind currency movements and show how that analysis can help address a range of questions, focusing on exchange rate pass-through to prices. We build on a methodology previously developed for the United Kingdom and adapt this framework so that it can be applied to a diverse sample of countries using widely available data. The paper provides three examples of how this enriched methodology can be used to provide insights on pass-through and other questions. First, it shows that exchange rate movements caused by monetary policy shocks consistently correspond to significantly higher pass-through than those caused by demand shocks in a cross-section of countries, confirming earlier results for the UK. Second, it shows that the underlying shocks (especially monetary policy shocks) are particularly important for understanding the time-series dimension of pass-through, while the standard structural variables highlighted in previous literature are most important for the cross-section dimension. Finally, the paper explores how the methodology can be used to shed light on the effects of monetary policy and the debate on "currency wars": it shows that the role of monetary policy shocks in driving the exchange rate has increased moderately since the global financial crisis in advanced economies. |
主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
关键词 | Pass-through exchange rate Price level inflation monetary policy Currency wars |
URL | https://cepr.org/publications/dp15242 |
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/544217 |
推荐引用方式 GB/T 7714 | Kristin Forbes,Ida Hjortsoe,Tsvetelina Nenova. DP15242 International Evidence on Shock-Dependent Exchange Rate Pass-Through. 2020. |
条目包含的文件 | 条目无相关文件。 |
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