Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach
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References listed on IDEAS
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
- Bjørnland, Hilde C., 2009.
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- Hilde C. Bjørnland, 2009. "Monetary policy and exchange rate overshooting: Dornbusch was right after all," Working Paper 2009/09, Norges Bank.
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- Georgiadis, Georgios & Jancokova, Martina, 2017.
"Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks,"
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More about this item
KeywordsTwo-country model; Cointegration; Structural VAR; Gets Model Selection; Monetary Policy; Exchange Rates;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
- NEP-CBA-2013-12-29 (Central Banking)
- NEP-ECM-2013-12-29 (Econometrics)
- NEP-MAC-2013-12-29 (Macroeconomics)
- NEP-MON-2013-12-29 (Monetary Economics)
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