Monetary Shocks and Real Exchange Rates |
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A(mm aggregate demand assumption baseline model Blanchard-Quah Canada CG model Clarida and Gali Clarida-Gali sample classical dichotomy cointegration cointegration vectors contribution of monetary CPI-based real exchange deflator-based real exchange Economics empirical equation Faust and Leeper Federal Reserve System Finance Discussion Papers first-differences forecast error variance Gali's GDP deflator-based real GDP deflators government spending identify implies impulse responses indicates International Finance Discussion Kehoe lag operator long-run effect long-run restrictions monetary base shock monetary shocks monetary shocks combined money multiplier shocks money supply Nominal Exchange Rate nominal shocks one-year horizon ordering of variables output permanent effect preference shocks productivity shocks real exchange rate reject robustness Rogoff sample CG sample sample period Shocks and Real short-run standard error stationary statistic sticky prices supply shocks system shocks table 7A Tests for Lag trend-stationary U.K. less U.S. unit root null variance decompositions vector autoregressions y₁