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Titel
Is there an information channel of monetary policy? / Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak ; editor: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association
VerfasserHoltemöller, Oliver ; Kriwoluzky, Alexander ; Kwak, Boreum
KörperschaftLeibniz-Institut für Wirtschaftsforschung Halle
ErschienenHalle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [2024?]
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This version: May 17, 2024
Umfang1 Online-Ressource (III, 21 Seiten, 0,76 MB) : Diagramme
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Literaturverzeichnis: Seite 17-19
Exchange rates and the information channel of monetary policy
SpracheEnglisch
SerieIWH-Diskussionspapiere ; 2020, no. 17 (October 2020) [rev.]
URNurn:nbn:de:gbv:3:2-1062882 
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Is there an information channel of monetary policy? [0.76 mb]
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Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary policy shock and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest rates stock prices industrial production consumer prices and commodity prices. At the same time the excess bond premium and uncertainty decrease and the U.S. dollar depreciates. Therefore this third shock combines all the characteristics of a central bank information shock.