Information from financial markets and VAR measures of monetary policy |
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| Affiliation: | 1. International Monetary Fund, 700 19th Street, N.W., Washington, DC 20431, USA;2. Bank for International Settlements, Centralbahnplatz 2, Basel 4051, Switzerland;3. Representative Office for Asia and the Pacific, Bank for International Settlements, 78th Floor, Two IFC, 8 Finance Street, Central, Hong Kong, China |
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| Abstract: | Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (US) and open (US–Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical analysis confirms the main features of the monetary policy transmission mechanism in US and Germany, explicitly addressing the issue of simultaneity between the German policy interest rate and the US dollar–DMark exchange rate. |
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