Monetary policy effects on output and exchange rates: Results from US, UK and Japan
AbstractWe investigate the effects of "contractionary" monetary shocks by imposing sign restrictions on the impulse responses of macroeconomic variables up to six months while allowing industrial production and exchange rate to be completely determined by the data. We show that i) the effect of an adverse monetary policy shock on industrial production is ambiguous; ii) there is price puzzle for Japan and UK which we conjecture as an outcome of excessive bank lending and poor regulation but not of passive monetary policy; ii) there is delayed overshooting puzzle for Japan and the exchange rate puzzle for the UK and the US.
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Bibliographic InfoPaper provided by The University of Sheffield, Department of Economics in its series Working Papers with number 2011016.
Length: 26 pages
Date of creation: Jun 2011
Date of revision:
monetary shocks; business cycles; exchange rate puzzle; price puzzle; vector autoregression;
Find related papers by JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-CBA-2011-07-02 (Central Banking)
- NEP-MAC-2011-07-02 (Macroeconomics)
- NEP-MON-2011-07-02 (Monetary Economics)
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