Permanent and temporary monetary policy shocks and the dynamics of exchange rates

Detalhes bibliográficos
Autor(a) principal: Carvalho, Alexandre
Data de Publicação: 2024
Outros Autores: Valle e Azevedo, João, Ribeiro, Pedro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/162310
Resumo: Funding Information: Pedro Pires Ribeiro acknowledges support of Fundação para a Ciência e a Tecnologia, Portugal, grant UIDB/00315/2020. Publisher Copyright: © 2023 The Author(s)
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spelling Permanent and temporary monetary policy shocks and the dynamics of exchange ratesExchange ratesFisher relationMonetary policy cointegrationMonetary shocksStructural VEC modelsFinanceEconomics and EconometricsFunding Information: Pedro Pires Ribeiro acknowledges support of Fundação para a Ciência e a Tecnologia, Portugal, grant UIDB/00315/2020. Publisher Copyright: © 2023 The Author(s)We show the distinction between permanent and temporary monetary policy shocks is helpful to understand the impacts of monetary policy on exchange rates in the short as well as over the long run. Drawing on monthly data for several advanced economies from 1971 to 2019 and resorting to a simple structural vector error correction (SVEC) model, we find that a shock leading to a temporary increase in U.S. nominal interest rates leads to a temporary appreciation of the USD against the other currencies. In turn, a monetary policy shock leading to a permanent rise in nominal interest rates – e.g., one associated with a normalisation of monetary policy after a long period at the zero lower bound – results in a depreciation of the USD, in the short as well as over the long run that may contribute to higher (not lower) inflation also in the short run.NOVA School of Business and Economics (NOVA SBE)RUNCarvalho, AlexandreValle e Azevedo, JoãoRibeiro, Pedro2024-01-15T22:37:03Z2024-012024-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/162310eng0022-1996PURE: 81328059https://doi.org/10.1016/j.jinteco.2023.103871info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:45:07Zoai:run.unl.pt:10362/162310Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:58:50.259346Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Permanent and temporary monetary policy shocks and the dynamics of exchange rates
title Permanent and temporary monetary policy shocks and the dynamics of exchange rates
spellingShingle Permanent and temporary monetary policy shocks and the dynamics of exchange rates
Carvalho, Alexandre
Exchange rates
Fisher relation
Monetary policy cointegration
Monetary shocks
Structural VEC models
Finance
Economics and Econometrics
title_short Permanent and temporary monetary policy shocks and the dynamics of exchange rates
title_full Permanent and temporary monetary policy shocks and the dynamics of exchange rates
title_fullStr Permanent and temporary monetary policy shocks and the dynamics of exchange rates
title_full_unstemmed Permanent and temporary monetary policy shocks and the dynamics of exchange rates
title_sort Permanent and temporary monetary policy shocks and the dynamics of exchange rates
author Carvalho, Alexandre
author_facet Carvalho, Alexandre
Valle e Azevedo, João
Ribeiro, Pedro
author_role author
author2 Valle e Azevedo, João
Ribeiro, Pedro
author2_role author
author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Carvalho, Alexandre
Valle e Azevedo, João
Ribeiro, Pedro
dc.subject.por.fl_str_mv Exchange rates
Fisher relation
Monetary policy cointegration
Monetary shocks
Structural VEC models
Finance
Economics and Econometrics
topic Exchange rates
Fisher relation
Monetary policy cointegration
Monetary shocks
Structural VEC models
Finance
Economics and Econometrics
description Funding Information: Pedro Pires Ribeiro acknowledges support of Fundação para a Ciência e a Tecnologia, Portugal, grant UIDB/00315/2020. Publisher Copyright: © 2023 The Author(s)
publishDate 2024
dc.date.none.fl_str_mv 2024-01-15T22:37:03Z
2024-01
2024-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/162310
url http://hdl.handle.net/10362/162310
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0022-1996
PURE: 81328059
https://doi.org/10.1016/j.jinteco.2023.103871
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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