New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates

By Almuth Scholl, Harald Uhlig. 2008

268 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/f11c4000eecd16905fd22e7fc05eb78bc4c8a19f

Citations in the corpus

• Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-Based Evidence from Japan (2011, unknown): “Fourth, because our restrictions are firmly grounded in liquidity trap theory we believe they are credible in the sense of Sims (1980) and that what we measure in our SVAR is indeed the structural QE-shock we are aiming at.”
• Exchange Rate Regimes and Fiscal Multipliers (2013, unknown): “12Such a pattern of “delayed overshooting” has been documented for the response of the exchange rate to monetary policy shocks, see Eichenbaum and Evans (1995) and Scholl and Uhlig (2008).”
• Exchange Rate Disconnect in General Equilibrium (2017, unknown): “Our work is also related to the vector autoregression literature, which studies impulse responses of internationalmacro variables to structural shocks (Eichenbaum and Evans 1995; Erceg, Guerrieri, and Gust 2006; Scholl and Uhlig 2008; Stavrakeva and Tang 2015; Schmitt-Grohé and Uribe 2018).”
• How Do Fiscal and Technology Shocks Affect Real Exchange Rates? New Evidence for the United States (2008, unknown): “In an open economy context, with a focus on identifying monetary policy shocks, sign restrictions are employed by Faust and Rogers (2003), Farrant and Peersman (2006), and Scholl and Uhlig (2008) among others.”
• Unconventional Monetary Policy and International Risk Premia (2016, unknown): “§Department of Economics, Johns Hopkins University, Baltimore MD 21218; wrightj@jhu.edu.”
• Why Agnostic Sign Restrictions are not Enough: Understanding the Dynamics of Oil Market VAR Models (2009, unknown): “…4 See, for example, Baumeister and Peersman (2008), Lippi and Nobili (2009), and Baumeister, Peersman and Van Robays (2010) in the context of oil market models and Peersman (2005), Dedola and Neri (2007), Canova and Paustian (2007), and Scholl and Uhlig (2008) in other contexts.”
• Monetary Policy and the U.S. Housing Market: A VAR Analysis Imposing Sign Restrictions (2008, unknown): “For instance, Scholl and Uhlig (2006) used a 12 month horizon to study the impact of monetary policy on exchange rates, while Uhlig (2005) used horizons of 3, 6, 12 and 24 months to study the impact of monetary policy on output.”
• The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach (2010, unknown): “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).”
• Monetary policy and exchange rate overshooting: Dornbusch was right after all* (2009, unknown): “4 Similar results are also found in Scholl and Uhlig (2005) , using a related procedure to that of Faust and Rogers”