Delayed Overshooting: It's an 80s Puzzle

Seong-Hoon Kim, Seongman Moon and Carlos Velasco

No 14-3, Staff Papers from Korea Institute for International Economic Policy

Abstract: We re-investigate the delayed overshooting puzzle. We find that delayed overshooting is primarily a phenomenon of the 1980s when the Fed was under the chairmanship of Paul Volcker. Related findings are as follows: (1) Uncovered interest parity fails to hold during the Volcker era and tends to hold in the other periods considered. (2) US monetary policy shocks have substantial impacts on exchange rate variations but misleadingly appear to have small impacts when monetary policy regimes are pooled. In brief, we confirm Dornbusch's overshooting hypothesis.

Keywords: Delayed Overshooting; UIP; Dornbusch Overshooting Hypothesis; Volcker; Monetary Policy Regime (search for similar items in EconPapers)
JEL-codes: E52 E65 F31 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2014-09-05
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://dx.doi.org/10.2139/ssrn.2495190 Full text (application/pdf)

Related works:
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:ris:kiepsp:2014_003

Access Statistics for this paper

More papers in Staff Papers from Korea Institute for International Economic Policy [30147] 3rd Floor Building C Sejong National Research Complex 370 Sicheong-daero Sejong-si, Korea. Contact information at EDIRC.
Bibliographic data for series maintained by Juwon Seo ( this e-mail address is bad, please contact ).