Exchange rates and the information channel of monetary policy / Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak
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Discovery
173550341X
URN
urn:nbn:de:gbv:3:2-127189
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [13. Oktober 2020]
Umfang
1 Online-Ressource (III, 25 Seiten, 2,32 MB) : Diagramme
Ausgabevermerk
Sprache
eng
Anmerkungen
Inhaltliche Zusammenfassung
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of exchange rate changes increases. Making use of this heteroskedasticity, we estimate that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline in prices and output, while a positive information shock appreciates the dollar, decreases prices and the excess bond premium, and increases output.
Schriftenreihe
IWH-Diskussionspapiere ; 2020, no. 17 (October 2020) ppn:837399270