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
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21071

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