Do Policy-Related Shocks Affect Real Exchange Rates? An Empirical Analysis Using Sign Restrictions and a Penalty-Function Approach
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- Taya Dumrongrittikul & Heather Anderson & Farshid Vahid, 2014. "The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective," Monash Econometrics and Business Statistics Working Papers 23/14, Monash University, Department of Econometrics and Business Statistics.
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KeywordsReal exchange rate; Vector error correction model; Monetary policy shocks; Sign restriction; Penalty function; Identification;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-CBA-2011-11-28 (Central Banking)
- NEP-MON-2011-11-28 (Monetary Economics)
- NEP-OPM-2011-11-28 (Open Economy Macroeconomics)
- NEP-SEA-2011-11-28 (South East Asia)
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