Abstract
This paper investigates the effects of shocks to US monetary policy on the dollar-yen exchange rate, using structural Vector error correction model (VECM) methods with long-run restrictions. We compare our estimates of the impulse responses with those based on levels Vector autoregression (VAR) with standard recursive order restrictions. The empirical results based on the long-run restrictions are found to be more consistent with standard models of exchange rate determination than the results based on the recursive order restrictions.
| Original language | English |
|---|---|
| Pages (from-to) | 99-114 |
| Number of pages | 16 |
| Journal | Journal of The Japanese and International Economies |
| Volume | 18 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2004 Mar |
| Externally published | Yes |
Keywords
- Cointegration
- Identification
- Impulse response
- Long-run restriction
- Monetary policy shock
- Short-run restriction
- Vector error correction model
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
- Political Science and International Relations