Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 5
Abstract
We analyze the contribution of the real exchange rate to the macroeconomic volatility of Czech economy and its role in cushioning economic disturbances. Results from a two-country structural VAR model do not allow us to reject a shock-absorbing role of the real exchange rate for the Czech economy. This result is robust to model extensions. Further analysis shows that domestic monetary policy and the real exchange rate are responsive to asymmetric and real exchange rate shocks in the short term, while the contribution of non-policy shocks is prevailing in the long term. This supports the view that the Czech National Bank’s policy is predictable. Low transmission of a real exchange rate shock to output and price volatility is consistent with the theoretical role of the exchange rate as a shock absorber.
Authors and Affiliations
Volha Audzei, Frantisek Brazdik
Keywords
Related Articles
- EP ID EP297540
- DOI -
- Views 141
- Downloads 0
Volatility Dynamics of Precious Metals: Evidence from Russia
This paper examines the volatility dynamics of four precious metals (gold, silver, platinum, and palladium) that are traded in Russia from 2000 to 2014. More specifically, it focuses on the following issues: (i) Presence...
Capital Controls and the Determinants of Entrepreneurship
There is consensus on the need for entrepreneurship (a micro phenomenon) to drive the larger macroeconomy. However, little research has been done on how specific macroeconomic policies might in turn impact entrepreneursh...
Determinants of Export Performance: Comparison of Central European and Baltic Firms
Following the new strand in the new trade theory literature focusing on firm heterogeneity in this paper we investigate the determinants of firms’ export performance in three Baltic states and four Central European count...
Editorial to the Special Issue on Emerging Market Finance and Institutional Investors
---
IPOs in the U.S. from 2005 to 2015: Using the Spline Regression Technique to Estimate Aggregate Issuance and Performance
The objective of this paper was to explore the relationship between IPO returns and performance on the U.S. Equity Exchanges from 2005 to 2015. To conduct this analysis, we used two independently drawn samples, a primary...