Do central banks respond to exchange rate movements? A structural investigation

Journal of Monetary Economics

Volumn 54, Issue 4, 2007, Pages 1069-1087

  Lubik, Thomas A ^a   Schorfheide, Frank ^b  

^a FEDERAL RESERVE BANK OF RICHMOND   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Bayesian analysis; Exchange rates; Monetary policy rules; Small open economy models; Structural estimation

Indexed keywords

EID: 34247361666     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2006.01.009     Document Type: Article

References (26)

1. An, S., Schorfheide, F., 2005. Bayesian analysis of DSGE models. Manuscript, University of Pennsylvania.
2. Beyer, A., Farmer, R.E.A., 2004. On the indeterminacy of new-Keynesian economics. European Central Bank Working Paper No. 323.
3. Canova, F., Sala, L., 2005. Back to square one: identification issues in DSGE models. Manuscript, IGIER and Bocconi University.
4. Clarida R., Galí J., and Gertler M. Monetary policy rules in practice: some international evidence. European Economic Review 42 (1998) 1033-1067
5. Dufour, J.-M., Khalaf, L., Kichian, L., 2006. Inflation dynamics and the new Keynesian Phillips curve: an identification robust econometric analysis. Journal of Economic Dynamics and Control 30, 1707-1727.
6. Galí J., and Gertler M. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44 (1999) 195-222
7. Galí J., and Monacelli T. Monetary policy and exchange rate volatility in a small open economy. Review of Economic Studies 72 (2005)
8. Justiniano, A., Preston, B., 2005. Can structural small open economy models account for the influence of foreign disturbances? Manuscript, Columbia University.
9. Kose M.A. Explaining business cycles in small open economies: how much do world prices matter?. Journal of International Economics 56 (2002) 299-327
10. Lubik, T.A., 2005. A simple, structural, and empirical model of the Antipodean transmission mechanism. Reserve Bank of New Zealand DP 2005/04.
11. Lubik T.A., and Schorfheide F. Testing for indeterminacy: an application to U.S. monetary policy. American Economic Review 94 (2004) 190-217
12. Lubik, T.A., Schorfheide, F., 2005. A Bayesian look at new open economy macroeconomics. NBER Macroeconomics Annual 20, 313-366.
13. Lubik, T.A., Teo, W.L., 2005. Do world shocks drive domestic business cycles? Some evidence from structural estimation. Working Paper #522, Department of Economics, Johns Hopkins University.
14. Ma A. GMM estimation of the new Phillips curve. Economics Letters 76 (2002) 411-417
15. Mendoza E.G. The terms of trade, the real exchange rate, and economic fluctuations. International Economic Review 36 (1995) 101-137
16. Nason, J.M., Smith, G.W., 2005. Identifying the new Keynesian Phillips curve. Manuscript, Federal Reserve Bank of Atlanta.
17. Ostry, J., Reinhart, C., 1992. Private saving and terms of trade shocks: evidence from developing countries. IMF Staff Papers 39, pp. 495-517.
18. Poirier D. Revising beliefs in nonidentified models. Econometric Theory 14 (1998) 183-209
19. Rotemberg J.J., and Woodford M. An optimization-based econometric framework for the evaluation of monetary policy. NBER Macroeconomics Annual 12 (1997) 297-346
20. Sbordone A.M. Prices and unit labor costs: a new test of price stickiness. Journal of Monetary Economics 49 (2002) 265-292
21. Schorfheide F. Loss function-based evaluation of DSGE models. Journal of Applied Econometrics 15 (2000) 645-670
22. Schwarz G. Estimating the dimension of a model. Annals of Statistics 6 (1978) 461-464
23. Sims C.A. Solving linear rational expectations models. Computational Economics 20 (2002) 1-20
24. Stock J., Wright J., and Yogo M. A survey of weak instruments and weak identification in generalized methods of moments. Journal of Business and Economic Statistics 20 (2002) 518-529
25. Taylor J.B. The role of the exchange rate in monetary-policy rules. American Economic Review 91 (2001) 263-267
26. Woodford M. Interest and Prices: Foundations of a Theory of Monetary Policy (2003), Princeton University Press, Princeton, NJ