New evidence on the effects of US monetary policy on exchange rates
Sarantis Kalyvitis and
Alexander Michaelides
LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library
Abstract:
We examine the impact of US monetary policy shocks on exchange rates using the monetary policy indicator proposed by Bernanke and Mihov [Quarterly Journal of Economics, 113 (1998) 869–902]. We find evidence for instantaneous, rather than delayed, US dollar overshooting after a monetary shock when relative output and relative prices are included in the VAR specification. The forward premium puzzle persists due to the interest rate differential response.
Keywords: monetary policy; overshooting; excess returns; forward premium puzzle. JEL classification codes: E52; F31 (search for similar items in EconPapers)
JEL-codes: E52 F31 (search for similar items in EconPapers)
Date: 2001-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)
Published in Economics Letters, May, 2001, 71(2), pp. 255-263. ISSN: 0165-1765
Downloads: (external link)
http://eprints.lse.ac.uk/197/ Open access version. (application/pdf)
Related works:
Journal Article: New evidence on the effects of US monetary policy on exchange rates (2001) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:197
Access Statistics for this paper
More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().