| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9660 |
| 来源ID | Working Paper 9660 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data | |
| Jon Faust; John H. Rogers; Eric Swanson; Jonathan H. Wright | |
| 发表日期 | 2003-04-28 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on financial variables, such as the exchange rate and the foreign interest rate. We show how this information can be used to achieve identification without having to make the usual strong assumption of a recursive ordering. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Monetary Policy |
| URL | https://www.nber.org/papers/w9660 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567284 |
| 推荐引用方式 GB/T 7714 | Jon Faust,John H. Rogers,Eric Swanson,et al. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9660.pdf（490KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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