EconPapers    
Economics at your fingertips  
 

Measuring Monetary Policy in Open Economies

Diego Cerdeiro

MPRA Paper from University Library of Munich, Germany

Abstract: The paper extends Bernanke and Mihov’s (1998) closed-economy strategy for identification of monetary policy shocks to open-economy settings, accounting for the simultaneity between interest-rate and exchange-rate innovations. The methodology allows a separate treatment of two distinct monetary policy shocks, one that operates through open market operations, and another one that takes place through interventions in the foreign exchange market. The results that the identification strategy yields when applied to the data of a small and open economy are free of the empirical anomalies previously found in the literature.

Keywords: Identification; Structural Vector Autoregressions; Open economy; Monetary policy shock; Foreign Exchange Intervention; Endogenous monetary policy. (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-mon and nep-opm
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/21071/1/MPRA_paper_21071.pdf original version (application/pdf)

Related works:
Working Paper: Measuring monetary policy in open economies (2010) Downloads
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:pra:mprapa:21071

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2023-11-11
Handle: RePEc:pra:mprapa:21071