Monetary policy and exchange rate dynamics: the exchange rate as a shock absorber

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F15%3A00449587" target="_blank" >RIV/00216208:11640/15:00449587 - isvavai.cz</a>

Výsledek na webu

<a href="http://journal.fsv.cuni.cz/storage/1340_audzei.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1340_audzei.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Monetary policy and exchange rate dynamics: the exchange rate as a shock absorber

Popis výsledku v původním jazyce

We analyze the contribution of the real exchange rate to the macroeconomic volatility of Czech economy and its role in cushioning economic disturbances. Results from a two-country structural VAR model do not allow us to reject a shock-absorbing role of the real exchange rate for the Czech economy. This result is robust to model extensions. Further analysis shows that domestic monetary policy and the real exchange rate are responsive to asymmetric and real exchange rate shocks in the short term, while the contribution of non-policy shocks is prevailing in the long term. This supports the view that the Czech National Bank's policy is predictable. Low transmission of a real exchange rate shock to output and price volatility is consistent with the theoretical role of the exchange rate as a shock absorber.

Název v anglickém jazyce

Monetary policy and exchange rate dynamics: the exchange rate as a shock absorber

Popis výsledku anglicky

We analyze the contribution of the real exchange rate to the macroeconomic volatility of Czech economy and its role in cushioning economic disturbances. Results from a two-country structural VAR model do not allow us to reject a shock-absorbing role of the real exchange rate for the Czech economy. This result is robust to model extensions. Further analysis shows that domestic monetary policy and the real exchange rate are responsive to asymmetric and real exchange rate shocks in the short term, while the contribution of non-policy shocks is prevailing in the long term. This supports the view that the Czech National Bank's policy is predictable. Low transmission of a real exchange rate shock to output and price volatility is consistent with the theoretical role of the exchange rate as a shock absorber.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr-Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

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Svazek periodika

65

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

20

Strana od-do

391-410

Kód UT WoS článku

000365034100003

EID výsledku v databázi Scopus

2-s2.0-84943632123