Arbeitspapier
Exchange rates and the information channel of monetary policy
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of exchange rate changes increases. Making use of this heteroskedasticity, we estimate that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline in prices and output, while a positive information shock appreciates the dollar, decreases prices and the excess bond premium, and increases output.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1906
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Monetary Policy
Central Banks and Their Policies
- Thema
-
monetary policy
central bank information shock
identification through heteroskedasticity
high-frequency identification
proxy SVAR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Holtemöller, Oliver
Kriwoluzky, Alexander
Kwak, Boreum
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Holtemöller, Oliver
- Kriwoluzky, Alexander
- Kwak, Boreum
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2020
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