White Rose University Consortium logo
University of Leeds logo University of Sheffield logo York University logo

Monetary policy effects on output and exchange rates: Results from US, UK and Japan

Caglayan, Mustafa, Mouratidis, Kostas and Saeidinezhad, Elham (2011) Monetary policy effects on output and exchange rates: Results from US, UK and Japan. Working Paper. Department of Economics, University of Sheffield ISSN 1749-8368

Full text available as:
[img]
Preview
Text
SERPS2011016.pdf

Download (242Kb)

Abstract

We investigate the effects of "contractionary" monetary shocks by imposing sign restrictions on the impulse responses of macroeconomic variables up to six months while allowing industrial production and exchange rate to be completely determined by the data. We show that i) the effect of an adverse monetary policy shock on industrial production is ambiguous; ii) there is price puzzle for Japan and UK which we conjecture as an outcome of excessive bank lending and poor regulation but not of passive monetary policy; ii) there is delayed overshooting puzzle for Japan and the exchange rate puzzle for the UK and the US.

Item Type: Monograph (Working Paper)
Copyright, Publisher and Additional Information: The Sheffield Economics Research Paper (SERP) series offers a forum for the research output of the academic staff and research students of the Department of Economics, University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. All papers may be downloaded free on the understanding that the contents are preliminary and therefore permission from the author(s) should be sought before they are referenced.
Keywords: monetary shocks, business cycles, exchange rate puzzle, price puzzle, vector autoregression
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series
Depositing User: Repository Officer
Date Deposited: 04 Oct 2011 14:10
Last Modified: 06 Jun 2014 12:35
Published Version: http://www.shef.ac.uk/economics/research/serps/yea...
Status: Published
Publisher: Department of Economics, University of Sheffield
Identification Number: Sheffield Economic Research Paper Series 2011016
URI: http://eprints.whiterose.ac.uk/id/eprint/43302

Actions (repository staff only: login required)