Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach

By Soyoung Kim, Nouriel Roubini. 2000

964 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e7f1b3d36eca97d3d70b6f8e9d0400e068e4078b

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Citations in the corpus

The Nature and Role of Monetary Policy When Money is Endogenous (2006, neutral): “Even so, Kim and Roubini (2000) provide evidence, which is consistent with significant effects that suggest that the exchange rate appreciates initially in response to a monetary contraction, but find little evidence of a "forward discount bias."”
Unconventional Monetary Policy and International Risk Premia (2016, background): “…in which it is assumed that U.S. monetary policy shocks have no immediate effect on foreign interest rates (Eichenbaum and Evans, 1995; Kim and Roubini, 2000).1 However, there is considerable evidence from the “event-study” literature, which we reinforce below, showing that global interest…”
Monetary policy shocks in the new EU members: a VAR approach (2007, methodology): “Financial assets held by the household sector range Notes: aThe numbers for the new members are the average response of the Czech Republic, Hungary and Poland, while the values reported for Kim (1999) and Kim and Roubini (2000) are the average responses for Germany, France and Italy.”
What drives natural gas prices? — A structural VAR approach (2013, methodology): “As commonly done in the macroeconomic literature, for example in Kim and Roubini (2000), we estimate the VAR with log-level price data because we are not interested in any possible stationarity or cointegration properties itself, but rather on the economic relationships within the natural gas…”
Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data (2003, neutral): “Other authors assume that the Fed ignores any surprise movements in exchange rates and/or short-term interest rates that have occurred during the month in which decisions on the policy variable are made (Eichenbaum and Evans 1995 and Kim and Roubini 2000).”
The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach (2010, background): “10Such numbers are in line with Scholl and Uhlig (2005) and Kim and Roubini (2000), and smaller than those of Clarida and Gali (1994) and Rogers (1999).”
Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (2008, neutral): “Other examples of studies applying common identifying assumptions to several countries are Sims (1992); Kim (1999); and Kim and Roubini (2000); as well as papers quoted below.”
Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries (2013, background): “…rather overwhelmingly, embraced the use of the industrial production index as a proxy for economic growth (Espinoza, Fornari and Lombardi, 2012; Lombardi and Van Robays, 2011; Peersman and Van Robays, 2011; Bjornland and Leitmeno, 2009; Laopodis, 2009, 2006; Kim and Roubini, 2000, among others).”
Measuring the effects of monetary policy for Turkey (2008, result): “The results are consistent with previous studies (Sims, 1992; Eichenbaum and Evans, 1995; Grilli and Roubini, 1995; Kim and Roubini, 2000; Berument, 2007).”
The Transmission of Monetary Policy in the Euro Area: Are the Effects Different Across Countries?* (2004, methodology): “Sims and Zha (1998) and Kim and Roubini (2000) propose the following restrictions on the A and B matrix: 1 0 0 0 0 a21 1 0 0 0 a31 a32 1 a34 0 0 0 a43 1 a45 a51 a52 a53 a54 1 2 66664 3 77775 lyt lpt lmt lst lxt 2 66664 3 77775 ¼ eyt ept emt est ext 2 66664 3 77775 : The first two equations…”
Stock market response to monetary and fiscal policy shocks: Multi-country evidence (2013, neutral): “…by the global demand shock, the public expenditure shock (i.e. we allow for contemporaneous crowding out effects), the money supply shock (Elbourne, 2008; Kim and Roubini, 2000; Sims and Zha, 2006a,b; Van Aarle et al., 2003) and the stock market shock (Bjornland and Leitemo, 2009).”
Exchange Rate Disconnect in General Equilibrium (2017, positive): “The final two ingredients are variable markups, arising from Kimball (1995) demand, and sticky wages and prices following Calvo (1983).”