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The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach

The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach
This paper investigates the effects of shocks to U.S. monetary policy on the dollar/yen exchange rate, using structural Vector Error Correction Model (VECM) methods. We compare our estimates of the impulse responses with those based on levels Vector Autoregression. We also compare results from short run and long run restrictions im- posed on the structural VECM.We find evidence of overshooting behavior of exchange rates with all methods. We find the price puzzle with levels Vector Autoregression
and VECM with short-run restrictions. In contrast, we do not find the price puzzle with VECM with long-run restrictions. Keywords: Vector Error Correction Model, Impulse Response, Monetary Policy Shock, Cointegration, Indentification, Long Run Restriction
JEL Classification: E32, C32

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