The reaction of monetary policy to exchange rate

Mehmet İvrendi̇
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Mehmet İvrendi̇: Pamukkale Üniversitesi

Iktisat Isletme ve Finans, 2006, vol. 21, issue 240, 81-97

Abstract: In this study we analyze the relationship between monetary policy and the exchange rate using the ITH method. We determine regime changes based on two different methods: First, we allow the data to determine the regime changes and estimate the reaction of monetary policy to different exchange rates such as Yen/$, Index/$ and Pound/$ . Second, we determine regime changes exogenously, based on the historical exchange rate policies in the United States and estimate the reaction of monetary policy to exchange rates.

Keywords: monetary policy; heteroscedasticity; regime changes; exchange rate (search for similar items in EconPapers)
JEL-codes: E52 E58 F31 (search for similar items in EconPapers)
Date: 2006
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