Research seminar: Sebastian K. Rüth (University of Erfurt)
04/04/2023
We would like to invite you to a research seminar by Sebastian K. Rüth, Professor of International and Monetary Macroeconomics at the University of Erfurt.
Paper: Monetary Policy and Exchange Rate Anomalies in Set-Identified SVARs: Revisited
Authors: Sebastian K. Rüth (University of Erfurt), Wouter Van der Veken (Ghent University)
Abstract: Set-identified vector autoregressions typically document violations of uncovered interest rate parity (forward discount puzzle) and gradual appreciationdepreciation-cycles of exchange rates (delayed overshooting puzzle) following contractionary monetary policy shocks. We revisit both anomalies in a framework similar to Kim et al. (2017, JPE). We complement their identifying restrictions on how monetary policy affects the economy with restrictions on (i) how monetary policy reacts to the economy and (ii) historical monetary policy innovations. In this hybrid identification, no major forward discount premia emerge. Once we additionally impose that monetary policy propagates through domestic financial conditions, exchange rates also overshoot with less delay.
The seminar will take place on Wednesday, April 5, 2023, in Room 314, 12:30 -14:00
The paper is avalible here.
Autor - Barbora Holková
