On the dynamic relationship of exchange rates and monetary fundamentals: An impulse-response analysis by local projections

Tsung Wu Ho*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

摘要

Meese and Rogoff (1983) first examined the dynamic relationship between exchange rates and monetary fundamentals and indicated that monetary fundamentals do not contain predictive component of exchange rates changes at short horizon. This note re-examines this relationship by estimating the local projections (Jorda, 2005) to calculate the responses of the exchange rate to monetary fundamental impulse. As a result, we confirm the dynamic relationship: Evidence from both cubic and linear projections show that monetary fundamentals contain information of future exchange rate changes.

原文英語
頁(從 - 到)1141-1145
頁數5
期刊Applied Economics Letters
15
發行號14
DOIs
出版狀態已發佈 - 2008
對外發佈

ASJC Scopus subject areas

  • 經濟學與計量經濟學

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