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Fluctuations in the foreign exchange market: How important are monetary policy shocks?
16 references·16 citing·42 second hopsampled
Fluctuations in the foreign exchange market: How important are monetary policy shocks? (2009)Fluctuations in the foreign exchange mark…New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates (2008)New evidence on the puzzles: …Monetary policy's role in exchange rate behavior (2003)Monetary policy's role in exc…Identification Through Heteroskedasticity (2003)Identification Through Hetero…Identification, estimation and testing of conditionally heteroskedastic factor models (2001)Identification, estimation an…Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach (2000)Exchange rate anomalies in th…Monetary shocks and real exchange rates (1999)Monetary shocks and real exch…Error Bands for Impulse Responses (1999)Error Bands for Impulse Respo…Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)Chapter 2 Monetary policy sho…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …Measuring Monetary Policy (1998)Measuring Monetary PolicyIdentifying monetary policy in a small open economy under flexible exchange rates (1997)Identifying monetary policy i…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Exchange Rate Dynamics Redux (1995)Exchange Rate Dynamics ReduxSources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks? (1994)Sources of Real Exchange Rate…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeExpectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…The effect of central bank transparency on exchange rate volatility (2019)The effect of central bank tr…Effects of monetary policy shocks on exchange rate in small open Economies (2018)Effects of monetary policy sh…Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis (2018)Choosing Between Different Ti…Structural vector autoregressions with smooth transition in variances (2017)Structural vector autoregress…Unconventional Monetary Policy and International Risk Premia (2016)Unconventional Monetary Polic…Testing for identification in SVAR-GARCH models (2016)Testing for identification in…Structural vector autoregressions with heteroskedasticity: A review of different volatility models (2016)Structural vector autoregress…Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes (2015)Unconventional monetary polic…Revisiting the relationship between exchange rates and fundamentals (2015)Revisiting the relationship b…STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG‐RUN RESTRICTIONS VIA HETEROSKEDASTICITY (2014)STRUCTURAL VECTOR AUTOREGRESS…Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market (2014)Structural Vector Autoregress…Measuring the effects of fiscal policy (2014)Measuring the effects of fisc…The Effects of Unconventional and Conventional U.S. Monetary Policy on the Dollar (2013)The Effects of Unconventional…The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries (2012)The changing international tr…Effects of Monetary Policy on the US Dollar/UK Pound Exchange Rate. Is There a “Delayed Overshooting Puzzle”? (2012)Effects of Monetary Policy on…DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS (2012)DISENTANGLING DEMAND AND SUPP…Macroeconomics and Reality (1980)The federal funds rate and the channels of monetary transmission (1989)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Empirical exchange rate models of the seventies (1983)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)Interpreting the macroeconomic time series facts (1992)DOES MONETARY POLICY GENERATE RECESSIONS? 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(1986)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Inference in Linear Time Series Models with some Unit Roots (1990)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Risk, uncertainty and monetary policy (2013)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Measuring The Reaction of Monetary Policy to the Stock Market (2003)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)It's Baaack: Japan's Slump and the Return of the Liquidity Trap (1998)The Economics of Exchange Rates (2003)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)
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References

  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 1995Exchange Rate Dynamics Redux2,110 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1999Chapter 2 Monetary policy shocks: What have we learned and to what end?1,484 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1999Error Bands for Impulse Responses930 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2000Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach916 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1997Identifying monetary policy in a small open economy under flexible exchange rates793 cited
  • 1994Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?622 cited
  • 2003Monetary policy's role in exchange rate behavior333 cited
  • 2001Identification, estimation and testing of conditionally heteroskedastic factor models276 cited
  • 2008New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates253 cited

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  • 1999Monetary shocks and real exchange rates171 cited
  • Cited by

    • 2012DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS119 cited
    • 2013The Effects of Unconventional and Conventional U.S. Monetary Policy on the Dollar64 cited
    • 2018Effects of monetary policy shocks on exchange rate in small open Economies57 cited
    • 2016Structural vector autoregressions with heteroskedasticity: A review of different volatility models54 cited
    • 2017Structural vector autoregressions with smooth transition in variances52 cited
    • 2014Measuring the effects of fiscal policy45 cited
    • 2012The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries44 cited
    • 2015Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes43 cited
    • 2016Testing for identification in SVAR-GARCH models38 cited
    • 2018Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis33 cited
    • 2019The effect of central bank transparency on exchange rate volatility32 cited
    • 2014STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG‐RUN RESTRICTIONS VIA HETEROSKEDASTICITY31 cited
    • 2016Unconventional Monetary Policy and International Risk Premia29 cited
    • 2015Revisiting the relationship between exchange rates and fundamentals23 cited
    • 2012Effects of Monetary Policy on the US Dollar/UK Pound Exchange Rate. Is There a “Delayed Overshooting Puzzle”?22 cited
    • 2014Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market22 cited