메뉴 건너뛰기




Volumn 50, Issue 7, 2003, Pages 1403-1424

Monetary policy's role in exchange rate behavior

Author keywords

Exchange rates; Forward premium bias; Identification; Monetary policy; Overshooting

Indexed keywords


EID: 0142055330     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2003.08.003     Document Type: Article
Times cited : (175)

References (35)
  • 1
    • 0039843719 scopus 로고    scopus 로고
    • Affine term structure models and the forward premium anomaly
    • Backus D. Foresi S. Telmer C. Affine term structure models and the forward premium anomaly Journal of Finance 56 2001 279-304
    • (2001) Journal of Finance , vol.56 , pp. 279-304
    • Backus, D.1    Foresi, S.2    Telmer, C.3
  • 3
    • 85016078433 scopus 로고
    • The dynamic effects of aggregate demand and supply disturbances
    • Blanchard O. Quah D. The dynamic effects of aggregate demand and supply disturbances American Economic Review 79 1989 655-673
    • (1989) American Economic Review , vol.79 , pp. 655-673
    • Blanchard, O.1    Quah, D.2
  • 4
    • 0000462914 scopus 로고
    • Profits, risk, and uncertainty in foreign exchange markets
    • Canova F. Marrinan J. Profits, risk, and uncertainty in foreign exchange markets Journal of Monetary Economics 32 1993 259-286
    • (1993) Journal of Monetary Economics , vol.32 , pp. 259-286
    • Canova, F.1    Marrinan, J.2
  • 6
    • 0142077805 scopus 로고    scopus 로고
    • Can sticky price models generate volatile and persistent real exchange rates?
    • Forthcoming
    • Chari, V.V., Kehoe, P., McGrattan, E., 2000. Can sticky price models generate volatile and persistent real exchange rates? Review of Economic Studies, forthcoming.
    • (2000) Review of Economic Studies
    • Chari, V.V.1    Kehoe, P.2    McGrattan, E.3
  • 8
    • 0031206539 scopus 로고    scopus 로고
    • Identifying monetary policy in a small open economy under flexible exchange rates
    • Cushman D. Zha T. Identifying monetary policy in a small open economy under flexible exchange rates Journal of Monetary Economics 39 1997 433-448
    • (1997) Journal of Monetary Economics , vol.39 , pp. 433-448
    • Cushman, D.1    Zha, T.2
  • 9
    • 0000852872 scopus 로고
    • Expectations and exchange dynamics
    • Dornbusch R. Expectations and exchange dynamics Journal of Political Economy 84 1976 1161-1176
    • (1976) Journal of Political Economy , vol.84 , pp. 1161-1176
    • Dornbusch, R.1
  • 10
    • 84959805338 scopus 로고
    • Some empirical evidence on the effects of shocks to monetary policy on exchange rates
    • Eichenbaum M. Evans C. Some empirical evidence on the effects of shocks to monetary policy on exchange rates Quarterly Journal of Economics 110 1995 975-1010
    • (1995) Quarterly Journal of Economics , vol.110 , pp. 975-1010
    • Eichenbaum, M.1    Evans, C.2
  • 11
    • 0030163502 scopus 로고    scopus 로고
    • The forward discount anomaly and the risk premium: A survey of recent evidence
    • Engel C. The forward discount anomaly and the risk premium: a survey of recent evidence Journal of Empirical Finance 3 1996 123-191
    • (1996) Journal of Empirical Finance , vol.3 , pp. 123-191
    • Engel, C.1
  • 12
    • 48549113655 scopus 로고
    • Spot and forward exchange rates
    • Fama E. Spot and forward exchange rates Journal of Monetary Economics 14 1984 319-338
    • (1984) Journal of Monetary Economics , vol.14 , pp. 319-338
    • Fama, E.1
  • 15
    • 0011335267 scopus 로고    scopus 로고
    • Exchange rate dynamics and learning
    • NBER working paper 5530
    • Gourinchas, P.O., Tornell, A., 1996. Exchange rate dynamics and learning. NBER working paper 5530.
    • (1996)
    • Gourinchas, P.O.1    Tornell, A.2
  • 16
    • 0000098636 scopus 로고    scopus 로고
    • Liquidity models in open economies: Theory and empirical evidence
    • Grilli V. Roubini N. Liquidity models in open economies: theory and empirical evidence European Economic Review 40 1996 847-859
    • (1996) European Economic Review , vol.40 , pp. 847-859
    • Grilli, V.1    Roubini, N.2
  • 18
    • 0142014064 scopus 로고    scopus 로고
    • How reliable are VAR estimates of responses to monetary policy shocks?
    • Manuscript, University of Michigan
    • Kilian, L., Chang, P., 1998. How reliable are VAR estimates of responses to monetary policy shocks? Manuscript, University of Michigan.
    • (1998)
    • Kilian, L.1    Chang, P.2
  • 19
    • 0036250881 scopus 로고    scopus 로고
    • Quantifying the uncertainty about the half-life of deviations from PPP
    • Kilian L. Zha T. Quantifying the uncertainty about the half-life of deviations from PPP Journal of Applied Econometrics 17 2002 107-125
    • (2002) Journal of Applied Econometrics , vol.17 , pp. 107-125
    • Kilian, L.1    Zha, T.2
  • 20
    • 0010970933 scopus 로고    scopus 로고
    • International transmission of U.S. monetary policy shocks: Evidence from VARs
    • Kim S. International transmission of U.S. monetary policy shocks: evidence from VARs Journal of Monetary Economics 48 2001 339-372
    • (2001) Journal of Monetary Economics , vol.48 , pp. 339-372
    • Kim, S.1
  • 21
    • 0005674560 scopus 로고    scopus 로고
    • Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach
    • Kim S. Roubini N. Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach Journal of Monetary Economics 45 2000 561-586
    • (2000) Journal of Monetary Economics , vol.45 , pp. 561-586
    • Kim, S.1    Roubini, N.2
  • 23
    • 0005122569 scopus 로고    scopus 로고
    • Explaining international comovements of output and asset returns: The role of money and nominal rigidities
    • Working paper, University of Bonn
    • Kollmann, R., 1999. Explaining international comovements of output and asset returns: the role of money and nominal rigidities. Working paper, University of Bonn.
    • (1999)
    • Kollmann, R.1
  • 24
    • 0010670891 scopus 로고
    • Identification problems in economic model construction
    • W. C. Hood, & T. C. Koopmans (Eds.), New York: Wiley (Chapter 2)
    • Koopmans T. Identification problems in economic model construction. In: Hood W.C. Koopmans T.C. (Eds.), Studies in Econometric Method 1953 Wiley New York (Chapter 2)
    • (1953) Studies in Econometric Method
    • Koopmans, T.1
  • 27
    • 0003047667 scopus 로고
    • Resolving the liquidity effect
    • Manuscript, University of Rochester
    • Pagan, A., Robertson, J., 1994. Resolving the liquidity effect. Manuscript, University of Rochester.
    • (1994)
    • Pagan, A.1    Robertson, J.2
  • 28
    • 0142109391 scopus 로고    scopus 로고
    • Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly
    • Manuscript, Yale University
    • Phillips, P.C.B., Maynard, A., 1999. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. Manuscript, Yale University.
    • (1999)
    • Phillips, P.C.B.1    Maynard, A.2
  • 29
    • 0033372468 scopus 로고    scopus 로고
    • Monetary shocks and real exchange rates
    • Rogers J. Monetary shocks and real exchange rates Journal of International Economics 48 1999 269-288
    • (1999) Journal of International Economics , vol.48 , pp. 269-288
    • Rogers, J.1
  • 30
    • 0000786475 scopus 로고    scopus 로고
    • The purchasing power parity puzzle
    • Rogoff K. The purchasing power parity puzzle Journal of Economic Literature 34 1996 647-668
    • (1996) Journal of Economic Literature , vol.34 , pp. 647-668
    • Rogoff, K.1
  • 31
    • 0347392838 scopus 로고    scopus 로고
    • Do measures of monetary policy in a VAR make sense?
    • Rudebusch G. Do measures of monetary policy in a VAR make sense? International Economic Review 39 1998 907-931
    • (1998) International Economic Review , vol.39 , pp. 907-931
    • Rudebusch, G.1
  • 32
    • 20444375717 scopus 로고    scopus 로고
    • Comment on Glenn Rudebusch's 'Do measures of monetary policy in a VAR make sense?'
    • Sims C. Comment on Glenn Rudebusch's 'Do measures of monetary policy in a VAR make sense?' International Economic Review 39 1998 933-941
    • (1998) International Economic Review , vol.39 , pp. 933-941
    • Sims, C.1
  • 33
    • 0001090776 scopus 로고    scopus 로고
    • Error bands for impulse responses
    • Sims C. Zha T. Error bands for impulse responses Econometrica 67 1999 1113-1157
    • (1999) Econometrica , vol.67 , pp. 1113-1157
    • Sims, C.1    Zha, T.2
  • 34
    • 0001763917 scopus 로고
    • The identification of monetary policy disturbances: Explaining the liduidity puzzle
    • Strongin S. The identification of monetary policy disturbances: explaining the liduidity puzzle Journal of Monetary Economics 35 1995 463-498
    • (1995) Journal of Monetary Economics , vol.35 , pp. 463-498
    • Strongin, S.1
  • 35
    • 0003921542 scopus 로고    scopus 로고
    • What are the effects of monetary policy on output?: Results from an agnostic identification procedure
    • Tilburg University
    • Uhlig, H., 1999. What are the effects of monetary policy on output?: results from an agnostic identification procedure. Center for Economic Research Discussion Paper 1999-28, Tilburg University.
    • (1999) Center for Economic Research Discussion Paper 1999-28
    • Uhlig, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.