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"Dornbusch's overshooting and the systematic component of monetary policy in SOE-SVARs"

Séminaire Nicolas GROSHENNY

Prochain séminaire du GAINS

Le prochain séminaire du GAINS a lieu 24 octobre 2023 de 10h30 à 12h00 dans la salle de conférence de l'IRA.


Nicolas GROSHENNY (Le Mans Université) présentera un papier intitulé "Dornbusch's overshooting and the systematic component of monetary policy in SOE-SVARs".


Abstract :  

We estimate Small-Open-Economy SVAR models for Australia, Canada, New Zealand, Norway, Sweden and the United Kingdom to measure the effects of SOE and US monetary policy shocks on bilateral SOE/US exchange rates. Our identification strategy features block exogeneity and sign-restrictions imposed on the coefficients of the SOE and US monetary policy rules. Our approach leaves the response of the exchange rate to domestic and foreign monetary shocks unrestricted, while allowing for instantaneous interactions between the SOE policy rate and the exchange rate. We find that a contractionary SOE (US) monetary shock triggers an immediate appreciation (depreciation) followed by a reversion, in line with Dornbusch's overshooting and uncovered interest rate parity. SOE monetary impulses account for a greater portion of the short-run volatility of the exchange rate than US monetary shocks.


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