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Carvalho, A. , Valle e Azevedo, J. & Ribeiro, P. P. (2024). Permanent and temporary monetary policy shocks and the dynamics of exchange rates. Journal of International Economics. 147
A. Carvalho et al., "Permanent and temporary monetary policy shocks and the dynamics of exchange rates", in Journal of Int. Economics, vol. 147, 2024
@article{carvalho2024_1721864521499, author = "Carvalho, A. and Valle e Azevedo, J. and Ribeiro, P. P.", title = "Permanent and temporary monetary policy shocks and the dynamics of exchange rates", journal = "Journal of International Economics", year = "2024", volume = "147", number = "", doi = "10.1016/j.jinteco.2023.103871", url = "https://www.sciencedirect.com/science/article/pii/S0022199623001575?via%3Dihub" }
TY - JOUR TI - Permanent and temporary monetary policy shocks and the dynamics of exchange rates T2 - Journal of International Economics VL - 147 AU - Carvalho, A. AU - Valle e Azevedo, J. AU - Ribeiro, P. P. PY - 2024 SN - 0022-1996 DO - 10.1016/j.jinteco.2023.103871 UR - https://www.sciencedirect.com/science/article/pii/S0022199623001575?via%3Dihub AB - We show the distinction between permanent and temporary monetary policy shocks is helpful to understand the impacts of monetary policy on exchange rates in the short as well as over the long run. Drawing on monthly data for several advanced economies from 1971 to 2019 and resorting to a simple structural vector error correction (SVEC) model, we find that a shock leading to a temporary increase in U.S. nominal interest rates leads to a temporary appreciation of the USD against the other currencies. In turn, a monetary policy shock leading to a permanent rise in nominal interest rates – e.g., one associated with a normalisation of monetary policy after a long period at the zero lower bound – results in a depreciation of the USD, in the short as well as over the long run that may contribute to higher (not lower) inflation also in the short run. ER -