English, Article, Journal or magazine article edition: The Open Economy Consequences of U.S. Monetary Policy John Bluedorn; Christopher Bowdler

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Bookmark: http://trove.nla.gov.au/version/20283
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Open Economy Consequences of U.S. Monetary Policy
Author
  • John Bluedorn
  • Christopher Bowdler
Physical Description
  • preprint
Notes
  • Open Economy Monetary Policy Identification, Exchange Rate Adjustment, Interest Rate Pass-through
  • RePEc:oxf:wpaper:265
  • We characterize the channels by which a failure to distinguish intended/​unintended and anticipated/​unanticipated monetary policy may lead to attenuation bias in monetary policy's open economy effects. Using a U.S. monetary policy measure which isolates the intended and unanticipated component of federal funds rate changes, we quantify the magnitude of the attenuation bias for the exchange rate and foreign variables, finding it to be substantial. The exchange rate appreciation following a monetary contraction is up to 4 times larger than a recursively-identified VAR estimate. There is stronger evidence of foreign interest rate pass-through. The expenditure-reducing effects of a U.S. monetary policy contraction dominate any expenditure-switching effects, leading to a positive conditional correlation of international outputs and prices.
  • RePEc:nuf:econwp:0604
Language
  • English
Contributed by
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