REAL EXCHANGE RATE, MONETARY POLICY, AND THE U.S. ECONOMY: EVIDENCE FROM A FAVAR MODEL.
This paper examines the effects of exchange rate depreciation to the U.S. economy in a factor‐augmented vector autoregression model using monthly data of 148 variables for the post–Bretton Woods period of 1973–2017. Exchange rate shock is identified to reflect exogenous disturbances to the foreign e...
| Publicado en: | Economic Inquiry Vol. 57; no. 1; pp. 552 - 569 |
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| Autores principales: | , |
| Formato: | Artículo |
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Wiley-Blackwell
Jan2019
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=133389550&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 133389550 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: Y pubinfo: dt: Jan2019 vid: 57 iid: 1 pid: 480 pub: Wiley-Blackwell artinfo: ui: 133389550 10.1111/ecin.12723 ppf: 552 ppct: 17 formats: fmt: – @attributes: type: T – @attributes: type: C – @attributes: type: P size: 871KB tig: atl: REAL EXCHANGE RATE, MONETARY POLICY, AND THE U.S. ECONOMY: EVIDENCE FROM A FAVAR MODEL. aug: au: Sun, Wei De, Kuhelika affil: Associate Professor, Department of Economics, Seidman College of Business, Grand Valley State University, Grand Rapids MI, 49504 su: United States Price inflation United States economy Monetary policy Foreign exchange rates Foreign exchange market sug: subj: Price inflation United States United States economy Monetary policy Foreign exchange rates Foreign exchange market ab: This paper examines the effects of exchange rate depreciation to the U.S. economy in a factor‐augmented vector autoregression model using monthly data of 148 variables for the post–Bretton Woods period of 1973–2017. Exchange rate shock is identified to reflect exogenous disturbances to the foreign exchange market, and movements in exchange rate that are not accounted for by changes in the U.S. monetary policy. We find that depreciation is expansionary and inflationary to the broad U.S. economy, the current account improves over time conforming to the J‐curve theory, and monetary policy is leaning against the wind. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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