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Reference: John Bluedorn and Christopher Bowdler, (2011). The Open Economy Consequences of U.S. Monetary Policy. Journal of International Money and Finance, 30 (2), 309 - 336.Citable link to this page:

 

The Open Economy Consequences of U.S. Monetary Policy.

Abstract: A failure to identify movements in the federal funds rate that are both un-predictable and independent of other determinants of open economy variables may leadto attenuation bias in the estimated effects of U.S. monetary policy on the exchange rateand foreign variables. Using a U.S. monetary policy measure which isolates unpredictableand independent federal funds rate changes, we quantify the magnitude of the attenuationbias for the exchange rate and foreign variables. The exchange rate appreciation followinga monetary contraction is up to 4 times larger than a recursively-identified VAR estimate.There is stronger evidence of foreign interest rate pass-through. The expenditure-reducingeffects of a U.S. monetary policy contraction dominate any expenditure-switching effects,leading to a positive conditional correlation of international outputs and prices. We com-pare our results with those obtained using identification based upon: (1) non-recursiveVAR restrictions; and, (2) restrictions derived from high frequency asset price behavior.

Bibliographic Details

Host: Journal of International Money and Financesee more from them

Issue Date: 2011Identifiers

Doi: https://doi.org/10.1016/j.jimonfin.2010.11.001

Urn: uuid:f7c8db36-911d-4b49-a0c7-6fd7f70297f3 Item Description

Type: info:eu-repo/semantics/article;

Language: en Tiny URL: ora:1304

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Author: John Bluedorn - - - Christopher Bowdler - - - - Bibliographic Details Host: Journal of International Money and Finance see more f

Source: https://ora.ox.ac.uk/objects/uuid:f7c8db36-911d-4b49-a0c7-6fd7f70297f3



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