Monetary shocks and real exchange rates
Board of Governors of the Federal Reserve System, 1998 - Business & Economics - 51 pages
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A(mm A(rl aggregate demand assumption baseline model Blanchard-Quah Canada CG model Clarida and Gali Clarida-Gali sample classical dichotomy cointegration cointegration vectors confidence intervals contribution of monetary CPI-based real exchange deflator-based real exchange Economics empirical equation Faust and Leeper 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 KPSS lag operator likelihood ratio tests long-run effect long-run restrictions model CG sample monetary base shocks monetary shocks combined money multiplier shocks money supply Nominal Exchange Rate nominal shocks null hypothesis one-year horizon ordering of variables output permanent effect preference shocks productivity shocks real exchange rate real shocks reject robustness Rogoff sample period Shocks and Real short-run standard error stationary statistic sticky prices supply shocks system shocks table 7A Tests for Lag U.K. less U.S. unit root null variance decompositions vector autoregressions