TITLE

CHAPTER 5: ASSESSING THE STRUCTURAL VAR APPROACH TO EXCHANGE RATE PASS-THROUGH

PUB. DATE
January 2006
SOURCE
Norges Bank: Doctoral Dissertations in Economics;2006, Issue 6, p193
SOURCE TYPE
Academic Journal
DOC. TYPE
Book Chapter
ABSTRACT
Chapter 5 of the book "Norges Bank: Doctoral Dissertations in Economics No. 6" is presented. It assesses the reliability of the structural vector autoregression approach to estimating exchange rate pass-through. It addresses the question on whether impulse responses of prices to an uncovered interest rate parity shock a useful tool to evaluate and estimate dynamic stochastic general equilibrium (DSGE) models with incomplete exchange rate pass-through. It lays out the DSGE model that serves as the data generating process in the Monte Carlo exercise.
ACCESSION #
26634616

 

Related Articles

  • The Covered-Arbitrage Schedule. OFFICER, LAWRENCE H.; WILLETT, THOMAS D. // Journal of Money, Credit & Banking (Ohio State University Press);May70, Vol. 2 Issue 2, p247 

    The article discusses recent developments in the covered arbitrage schedule, with an emphasis on examining why capital placements do not enjoy perfect international mobility. For purposes of their discussion the authors view the arbitrage schedule as consisting of the relationship between...

  • FORWARD EXCHANGE PRICE DETERMINATION IN CONTINUOUS TIME. Oldfield, George S.; Messina, Richard J. // Journal of Financial & Quantitative Analysis;Sep77, Vol. 12 Issue 3, p473 

    Recent work in the valuation of speculative investment instruments has focused on hedging theories in a dynamic efficient market framework. The hedging analysis proceeds by demonstrating that a combination of long and short positions in various securities can be used to create an instantaneous...

  • Nonlinear dynamics and covered interest rate parity. Balke, Nathan S.; Wohar, Mark E. // Empirical Economics;1998, Vol. 23 Issue 4, p535 

    This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies we find a substantial number of instances during the sample in which the...

  • INTERPRETING ECONOMETRIC EVIDENCE ON EFFICIENCY IN THE FOREIGN EXCHANGE MARKET. BAILEY, RALPH W.; BAILLIE, RICHARD T.; McMAHON, PATRICK C. // Oxford Economic Papers;Jan1984, Vol. 36 Issue 1, p67 

    No abstract available.

  • Monetary Policy's Role in Exchange Rate Behavior. Faust, Jon; Rogers, John H. // Working Papers -- U.S. Federal Reserve Board's International Fin;1999, p1 

    This paper investigates the role of monetary policy in the behavior of exchange rates. The authors apply an inference procedure that allows them to reduce ambiguous assumptions. Their work overturns some of the prior research results and strengthens others. They suggest that, 1) the peak...

  • Exchange rate dynamics in Indonesia: 1980–1998 Saxena, Sweta Chaman // Journal of Asian Economics;Jul2002, Vol. 13 Issue 4, p545 

    This paper estimates the equilibrium level of the real exchange rate for Indonesia in order to measure the extent of overvaluation of the rupiah at the time of the Asian crisis in 1997. The equilibrium level of the real exchange rate is measured using co-integration approach, unobserved...

  • Expectations Hypotheses Tests. Bekaert, Geert; Hodrick, Robert J. // Journal of Finance (Wiley-Blackwell);Aug2001, Vol. 56 Issue 4, p1357 

    We investigate the expectations hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. We examine Wald, Lagrange multiplier, and distance metric...

  • Tests of Real Interest Parity in International Currency Markets. Parikh, Ashok // Journal of Economics;1994, Vol. 59 Issue 2, p167 

    The purpose of this paper is to examine the behavior of real bilateral exchange rates for major currencies and test the hypothesis of real uncovered interest parity with risk premia, and forward looking expectations. It is plausible that the hypothesis of rational expectations cannot be rejected...

  • Foreign currency borrowing and knowledge about exchange rate risk. Beckmann, Elisabeth; Stix, Helmut // Working Papers (Oesterreichische Nationalbank);Mar2014, Issue 188, preceding p1 

    Foreign currency borrowing is widespread in many regions of the world. This raises the question whether unhedged borrowers do not understand the exchange rate risk emanating from such loans. Employing household level micro-data from eight Central and Eastern European countries we study how...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics