연구정보
[경제] Identifying Dornbusch's Exchange Rate Overshooting with Structural VECs: Evidence from Mexico
멕시코 국외연구자료 연구보고서 - IJCB 발간일 : 2019-12-18 등록일 : 2020-10-16 원문링크
We propose an approach where, by imposing a rich longrun structure to a structural vector error-correction model (SVEC), we find a response of the exchange rate to monetary policy shocks consistent with Dornbusch's exchange rate overshooting hypothesis in data from Mexico. The model accommodates long-run theoretical relationships on macroeconomic variables (a purchasing power parity, an uncovered interest parity, a money demand, and a relationship between domestic and U.S. output). We identify, estimate, and test the long-run relationships using an ARDL methodology. We then impose a recursiveness assumption on the SVEC to identify the response of domestic variables to a monetary policy shock.
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