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on Monetary Economics |
| By: | Eyler, Robert; Sonora, Robert |
| Abstract: | Monetary policy has differential effects throughout the United States. When setting monetary policy, central banks must consider how national and regional economic goals are being achieved. In this study, the methods and evidence are focused on using structural VAR analysis, assuming that the United States has an interest rate channel of monetary policy. The methods estimate the symmetry and magnitude of monetary shocks on income, unemployment and prices in major metropolitan statistical areas (MSAs) of the United States as compared to the national effects. As in Carlino and Defina (1998) and Florio (2005), differential regional effects connect to optima currency areas (OCA) literature, the advent of the Euro, increased regionalism, and the possibility of more monetary unions forming worldwide. Events in early 2010 concerning the Euro's stability show the importance of monitoring regions and their reactions to policy. |
| Keywords: | E52 ; E61; E37; R12 |
| JEL: | E52 R12 E37 E61 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:24745&r=mon |
| By: | Richard Ashley; Kwok Ping Tsang; Randal J. Verbrugge |
| Abstract: | We estimate a monetary policy rule allowing for possible frequency dependence - i.e. allowing the central bank to respond di¤erently to persistent innovations than to transitory innovations, in both the real-time unemployment rate and the real-time inflation rate. The method is flexible, and requires no strong a priori assumptions on the pattern of frequency dependence or on the nature of the data-generating process. The data convincingly reject linearity in the monetary policy rule, in the direction suggested by theory. Our two major …ndings are 1) the post-Volcker central bank responds more strongly to unemployment rate fluctuations than previous regimes do and 2) while the post-Volcker central bank reacts more strongly to persistent inflation fluctuations, it actually accommodates inflation at higher frequencies. |
| Keywords: | Taylor rule, frequency dependence, spectral regression, real-time data |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:vpi:wpaper:e07-21&r=mon |
| By: | Nicoletta Batini; Vasco Gabriel; Paul Levine; Joseph Pearlman (National Institute of Public Finance and Policy) |
| Abstract: | We first develop a two-bloc model of an emerging open economy interacting with the rest of the world calibrated using Indian and US data. The model features a financial accelerator and is suitable for examining the effects of financial stress on the real economy. Three variants of the model are highlighted with increasing degrees of financial frictions. The model is used to compare two monetary interest rate regimes: domestic Inflation targeting with a floating exchange rate (FLEX(D)) and a managed exchange rate (MEX). Both rules are characterized as a Taylor-type interest rate rules. MEX involves a nominal exchange rate target in the rule and a constraint on its volatility. We find that the imposition of a low exchange rate volatility is only achieved at a significant welfare loss if the policymaker is restricted to a simple domestic inflation plus exchange rate targeting rule. If on the other hand the policymaker can implement a complex optimal rule then an almost fixed exchange rate can be achieved at a relatively small welfare cost. This finding suggests that future research should examine alternative simple rules that mimic the fully optimal rule more closely. |
| Keywords: | DSGE model, Indian economy, monetary interest rate rules, floating versus managed exchange rate, financial frictions |
| JEL: | E52 E37 E58 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:eab:macroe:2222&r=mon |
| By: | Zhongfang He |
| Abstract: | The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates. By using vector autoregressive models of monthly interest rates, month-over-month inflation, and unemployment rates for Canada and the United States, the author finds that the Canadian 1-year treasury bill rates and 1-year forward 3-month rates have generally been lower than their model-implied values since April 2009, while the difference between the U.S. realized rates and their model-implied values has been much smaller. The author also studies the effect of the conditional commitment on longer-term government bond yields with maturities of 2, 5, and 10 years, and finds lower actual Canadian longer-term interest rates than their model-implied values, though their difference diminishes as the maturities become longer. The evidence appears to suggest that the Bank of Canada's conditional commitment likely has produced a persistent effect in lowering Canadian interest rates relative to what their historical relationship with inflation and unemployment rates would imply. However, this finding is not statistically strong and is subject to caveats such as possible in-sample model instability and the dependence of the results on the choice of inflation variable. |
| Keywords: | Interest rates; Monetary policy implementation; Transmission of monetary policy |
| JEL: | E4 E5 E6 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:10-11&r=mon |
| By: | Vítor Castro (Universidade de Coimbra and NIPE); Ricardo M. Sousa (Universidade do Minho - NIPE) |
| Abstract: | We assess the response of monetary policy to developments in asset markets in the Euro Area, the US and the UK. We estimate the reaction of monetary policy to wealth composition and asset prices using: (i) a linear framework based on a fully simultaneous system approach in a Bayesian environment; and (ii) a nonlinear specification that relies on a smooth transition regression model. The linear framework suggests that wealth composition is indeed important in the formulation of monetary policy. However, the attempts of central banks to mitigate undesirable fluctuations in say, financial wealth, may disrupt housing wealth. A similar result can be found when we assess the reaction of monetary authority to asset prices, although concerns about "price" effects are smaller. The nonlinear model confirms these findings. However, the concerns over the wealth and its components are stronger once inflation is under control, i.e. below a certain target. Some disruptions between financial and housing wealth effects are still present. They can also be found in reaction to asset prices, despite being less intense. |
| Keywords: | monetary policy rules, wealth composition, asset prices. |
| JEL: | E37 E52 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:nip:nipewp:26/2010&r=mon |
| By: | Zeng, Zhixiong |
| Abstract: | Policy actions by the Federal Reserve during the recent financial crisis often involve recapitalization of banks. This paper offers a theory of the non-neutrality of money for policy actions taking the form of injecting capital into banks via nominal transfers, in an environment where banking frictions are present in the sense that there exists an agency cost problem between banks and their private-sector creditors. The analysis is conducted within a general equilibrium setting with two-sided financial contracting. We first show that even with perfect nominal flexibility, the recapitalization policy can have real effects on the economy. We then study the design of the optimal long-run recapitalization policy as well as the optimal short-run policy responses to banking riskiness shocks. |
| Keywords: | Banking frictions; two-sided debt contract; money neutrality; unconventional monetary policy; reaction function. |
| JEL: | E52 E44 D82 |
| Date: | 2010–08–25 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:24752&r=mon |
| By: | William A. Barnett (Department of Economics, The University of Kansas); Marcelle Chauvet (University of California at Riverside) |
| Abstract: | This paper explores the disconnect of Federal Reserve data from index number theory. A consequence could have been the decreased systemic-risk misperceptions that contributed to excess risk taking prior to the housing bust. We find that most recessions in the past 50 years were preceded by more contractionary monetary policy than indicated by simple-sum monetary data. Divisia monetary aggregate growth rates were generally lower than simple-sum aggregate growth rates in the period preceding the Great Moderation, and higher since the mid 1980s. Monetary policy was more contractionary than likely intended before the 2001 recession and more expansionary than likely intended during the subsequent recovery. |
| Keywords: | Measurement error, monetary aggregation, Divisia index, aggregation, monetary policy, index number theory, financial crisis, great moderation, Federal Reserve. |
| JEL: | E40 E52 E58 C43 E32 |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:kan:wpaper:201005&r=mon |
| By: | Shin-ichi Fukuda (Faculty of Economics, University of Tokyo) |
| Abstract: | This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR) denominated in the US dollar and the Japanese yen. Regardless of the currency denomination, TIBOR was highly synchronized with LIBOR in tranquil periods. However, the interbank rates showed substantial deviations in turbulent periods. We find remarkable asymmetric responses in reflecting market-specific and currency-specific risks during the crisis. The regression results suggest that counter-party credit risk increased the difference across the markets, while liquidity risk caused the difference across the currency denominations. They also support the view that a shortage of US dollar as liquidity distorted the international money markets during the crisis. We find that coordinated central bank liquidity provisions were useful in reducing liquidity risk in the US dollar transactions. But their effectiveness was asymmetric across the markets. |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2010cf759&r=mon |
| By: | Sylvia Kaufmann (Economic Studies Division, Oesterreichische Nationalbank); Johann Scharler (Department of Economics, University of Linz) |
| Abstract: | If firms borrow working capital to finance production, then nominal interest rates have a direct influence on in inflation dynamics, which appears to be the case empirically. However, interest rates may only partly mirror the cost of working capital. In this paper we explore the role of bank lending standards as a potential additional cost source and evaluate their empirical importance in explaining in ation dynamics in the US and in the euro area. JEL classification: E40, E50 |
| Keywords: | New Keynesian Phillips Curve, Cost Channel, Bank Lending Standards, Bayesian |
| Date: | 2010–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:onb:oenbwp:164&r=mon |
| By: | Ghosh, Saibal |
| Abstract: | The article examines the evidence for credit channel on the composition of corporate finance during tight and loose periods of monetary policy, using micro-level data on Indian firms for 1995-2007. The findings provide evidence in favor of the relationship lending view, although the magnitude and extent of the response varies according to firm characteristics. |
| Keywords: | monetary policy; corporate finance; leverage; Altman-Z; relationship lending; India |
| JEL: | E52 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:24717&r=mon |
| By: | Yu-chin Chen; Kwok Ping Tsang |
| Abstract: | The nominal exchange rate is both a macroeconomic variable equilibrating international markets and a financial asset that embodies expectations and prices risks associated with cross border currency holdings. Recognizing this, we adopt a joint macro-finance strategy to model the exchange rate. We incorporate into a monetary exchange rate model macroeconomic stabilization through Taylor-rule monetary policy on one hand, and on the other, market expectations and perceived risks embodied in the cross-country yield curves. Using monthly data between 1985 and 2005 for Canada, Japan, the UK and the US, we employ a state-space system to model the relative yield curves between country-pairs using the Nelson and Siegel (1987) latent factors, and combine them with monetary policy targets (output gap and in‡ ation) into a vector autoregression (VAR) for bilateral exchange rate changes. We find strong evidence that both the financial and macro variables are important for explaining exchange rate dynamics and excess currency returns, especially for the yen and the pound rates relative to the dollar. Moreover, by decomposing the yield curves into expected future yields and bond market term premiums, we show that both expectations about future macroeconomic conditions and perceived risks are priced into the currencies. These …ndings provide support for the view that the nominal exchange rate is determined by both macroeconomic as well as financial forces. |
| Keywords: | Exchange Rate, Term Structure, Latent Factors, Term premiums |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:vpi:wpaper:e07-19&r=mon |
| By: | Canale, Rosaria Rita; Napolitano, Oreste |
| Abstract: | The EMU assigns a very marginal role to economic policy and relies on the leading idea that, if prices are kept constant, there will be an automatic convergence towards long-run equilibrium income. These beliefs represent the theoretical underpinnings of fiscal and monetary policy strategies in Europe. In order to highlight the weakness of these foundations, the paper evaluates empirically the effects of public expenditure and interest rate setting on equilibrium income in Italy from 1998 to 2008. The analysis supports the conclusions that government spending has a positive impact on national income while inflation targeting has a negative impact. Moreover the empirical evidence shows that a high level of debt does not produce negative effects on GDP. Finally, at a time of financial crisis, these results appear to be reinforced for fiscal policy, but weakened for monetary policy. The paper finally states that the EMU’s rigid rules for both fiscal and monetary policy have recessive attitudes, and limit the use of instruments to deal with high levels of unemployment, definitely undermining the future existence of the single-currency area. |
| Keywords: | Fiscal policy; Monetary policy; EMU; Italy |
| JEL: | E62 E12 E52 |
| Date: | 2010–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:24705&r=mon |
| By: | Stilianos Fountas (Department of Economics, University of Macedonia) |
| Abstract: | We examine the relationship between inflation uncertainty, inflation and growth using annual historical data on industrial countries covering in many cases more than one century. Proxying inflation uncertainty by the conditional variance of inflation shocks, we obtain the following results. (1) There is significant evidence for the positive effect of inflation uncertainty on inflation supporting the Cukierman-Meltzer hypothesis. (2) There is mixed evidence on the causal effect of inflation on inflation uncertainty. (3) There is strong evidence that inflation uncertainty is not detrimental to output growth. |
| Keywords: | Inflation uncertainty, growth, GARCH models |
| JEL: | E31 O40 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:mcd:mcddps:2010_12&r=mon |
| By: | Paul Levine (National Institute of Public Finance and Policy) |
| Abstract: | The past forty years or so has seen a remarkable transformation in macro-models used by central banks, policymakers and forecasting bodies. This papers describes this transformation from reduced-form behavioural equations estimated separately, through to contemporary micro-founded dynamic stochastic general equilibrium (DSGE) models estimated by systems methods. In particular by treating DSGE models estimated by Bayesian-Maximum-Likelihood methods I argue that they can be considered as probability models in the sense described by Sims (2007) and be used for risk-assessment and policy design. This is true for any one model, but with a range of models on oer it is possible also to design interest rate rules that are simple and robust across the rival models and across the distribution of parameter estimates for each of these rivals as in Levine et al. (2008). After making models better in a number of important dimensions, a possible road ahead is to consider rival models as being distinguished by the model of expectations. This would avoid becoming `a prisoner of a single system' at least with respect to expectations formation where, as I argue, there is relatively less consensus on the appropriate modelling strategy. |
| Keywords: | structured uncertainty, DSGE models, robustness, Bayesian estimation, interest-rate rules |
| JEL: | E52 E37 E58 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:eab:macroe:2224&r=mon |
| By: | Joshua Aizenman; Menzie D. Chinna; Hiro Ito (Asian Development Bank Institute) |
| Abstract: | This paper extends our previous paper (Aizenman, Chinn, and Ito 2008) and explores some of the unexplored questions. First, we examine the channels through which the trilemma policy configurations affect output volatility. Secondly, we investigate how trilemma policy configurations affect the output performance of the economies under severe crisis situations. Thirdly, we look into how trilemma configurations have evolved in the aftermath of economic crises in the past. We find that trilemma policy configurations and external finances affect output volatility mainly through the investment channel. While a higher degree of exchange rate stability could stabilize the real exchange rate movement, it could also make investment volatile, though the volatility-enhancing effect of exchange rate stability on investment can be cancelled by holding higher levels of international reserves (IR). Greater financial openness helps reduce real exchange rate volatility. These results indicate that policymakers in a more open economy would prefer pursuing greater exchange rate stability and greater financial openness while holding a massive amount of IR. We also find that the “crisis economies” could end up with smaller output losses if they entered the crisis situation with more stable exchange rates or if they continue to hold a high level of IR and maintain greater exchange rate stability during the crisis period. Lastly, we find that developing countries are often found to have decreased the level of monetary independence and financial openness, but increased the level of exchange rate stability in the aftermath of a crisis, especially for the last two decades. This finding indicates how vulnerable developing countries, especially emerging market ones, are to volatile capital flows as a result of global financial liberalization. |
| Keywords: | economic crisis, financial crisis, trilemma, financial openess, exchange rate stability |
| JEL: | F15 F21 F31 F36 F41 O24 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:eab:tradew:2249&r=mon |
| By: | Stephen Elias (Reserve Bank of Australia); Mariano Kulish (Reserve Bank of Australia) |
| Abstract: | Now that a number of central banks are faced with short-term nominal interest rates close to or at the zero lower bound, there is a renewed interest in the long-running debate about whether or not changes in the stock of money have direct effects. In particular, do changes in money have additional effects on aggregate demand outside of those induced by changes in short-term nominal interest rates? This paper revisits and reinterprets the empirical evidence based on single equation regressions which is quite mixed, with some results supporting and other results denying the existence of direct effects. We use a structural model with no direct effects of money to show that the finding of positive and statistically significant coefficients on real money growth can be misleading. The model generates data that, when used to estimate analogs of the empirical regressions, produce positive and statistically significant coefficients on real money growth, similar to those often found when using actual data. The problem is that single equation regressions leave out a set of variables, which in turn, gives rise to an omitted variables bias in the estimated coefficients on real money growth. Hence, they are an unreliable guide to calibrate monetary policies, in general, including at the zero lower bound. |
| Keywords: | money; monetary base; direct effects; output gap |
| JEL: | E40 |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2010-05&r=mon |
| By: | Gunes Kamber; Stephen Millard (Reserve Bank of New Zealand) |
| Abstract: | This paper aims to contribute to our understanding of inflation dynamics in the United Kingdom by estimating two dynamic stochastic general equilibrium models and assessing the role of nominal and real rigidities within them. We first obtain an empirical representation of the monetary transmission mechanism in the United Kingdom and then estimate the models by minimising the difference between this representation and its model equivalents.We find that both models can explain the data reasonably well without relying on undue amounts of price and wage stickiness. |
| JEL: | E31 F52 |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:nzb:nzbdps:2010/05&r=mon |
| By: | Been-Lon Chen (Institute of Economics, Academia Sinica, Taipei, Taiwan); Yu-Shan Hsu (Department of Economics, National Chung Cheng University); Chia-Hui Lu (Department of Economics, National Taipei University) |
| Abstract: | We study the otherwise standard growth model with money except endogenous time preferences determined by resources pent on imagining future pleasures along the line of Becker and Mulligan (1997). Money plays a role in transactions via the cash-in-advance constraint.The resulting steady-state condition can be simplified to the standard textbook diagram in terms of two loci. We analyze the relationship between monetary growth and capital accumulation. If spending on imagining future pleasures is not constrained by cash, the existing relationship no longer holds. The optimum quantity of money is studied. |
| Keywords: | endogenous time preferences, growth, money |
| JEL: | E22 E31 |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:sin:wpaper:10-a005&r=mon |
| By: | Ila Patnaik; Ajay Shah; Anmol Sethy; Vimal Balasubramaniam (National Institute of Public Finance and Policy) |
| Abstract: | Prior to the Asian financial crisis, most Asian exchange rates were de facto pegged to the US Dollar. In the crisis, many economies experienced a brief period of extreme flexibility. A `fear of floating' gave reduced flexibility when the crisis subsided, but flexibility after the crisis was greater than that seen prior to the crisis. Contrary to the idea of a durable Bretton Woods II arrangement, Asia then went on to slowly raise flexibility and reduce the role for the US Dollar. When the period from April 2008 to December 2009 is compared against periods of high inflexibility, from January 1991 to November 1991 and October 1995 to March 1997, the increase in flexibility is economically and statistically significant. This paper proposes a new measure of dollar pegging, the "Bretton Woods II score". We find that by this measure Asia has been slowly moving away from a Bretton Woods II arrangement. |
| Keywords: | Exchange rate regime, Asia, Bretton Woods II hypothesis |
| JEL: | F31 F33 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:eab:financ:2225&r=mon |
| By: | Nagayasu, Jun |
| Abstract: | This paper empirically examines developments in price and inflation in China from 1991 to 2005. Unlike most previous studies, their determinants were investigated in the panel data context, and our findings are as follows. First, using the panel cointegration method, we confirm a long-run relationship between price, money and output. Secondly, we provide evidence that inflation can be explained by economic fundamentals such as money, credits, productivity, and exchange rate growth. Furthermore, while an increased concern about regional discrepancies in recent years, this relationship is more sensitive to the sample period than to the region type. Notably, money does not seem to be closely associated with inflation over recent years. |
| Keywords: | China; inflation; panel data; panel cointegration |
| JEL: | E31 E50 R11 |
| Date: | 2009–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:24722&r=mon |
| By: | Ashima Goyal (Indira Gandhi Institute of Development Research); Shruti Tripathi (Indira Gandhi Institute of Development Research) |
| Abstract: | Since consumer prices are a weighted average of the prices of domestic and of imported consumption goods, and producer prices feed into final consumer prices, wholesale price inflation should cause consumer price inflation. Moreover, there should exist a long-term equilibrium relationship between consumer and wholesale price inflation and the exchange rate. But we derive a second relation between the price series from an Indian aggregate supply function, giving reverse causality. The CPI inflation should Granger cause WPI inflation, through the effect of food prices on wages and producer prices. These restrictions on causal relationships are tested using a battery of time series techniques on the indices and their components. We find evidence of reverse causality, when controls are used for other variables affecting the indices. Second, both the identity and the AS hold as long-run cointegrating relationships. There is an important role for supply shocks. Food price inflation is cointegrated with manufacturing inflation. The exchange rate affects consumer prices. The insignificance of the demand variable in short-run adjustment indicates an elastic AS. There is no evidence of a structural break in the time series on inflation. Convergence is slow, and this together with differential shocks on the two series may explain their recent persistent divergence. |
| Keywords: | Consumer and wholesale price inflation, aggregate supply, Granger causality, cointegration, VECM |
| JEL: | E31 E12 C32 |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:ind:igiwpp:2010-012&r=mon |
| By: | Rasmus Fatum (School of Business, University of Alberta); Jesper Pedersen (Danish Economic Council); Peter Norman Sørensen (Department of Economics, University of Copenhagen) |
| Abstract: | This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to formulate testable hypotheses regarding how unannounced intervention purchases and intervention sales influence the market asymmetrically. To test these hypotheses we estimate weighted least squares (WLS) time-series models of the intraday bid-ask spread. Our main result is that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions: intervention purchases of the smaller currency, on average, reduce the spread while intervention sales, on average, increase the spread. We also show that intervention only affects the exchange rate spread when the state of the market is not abnormally volatile. Our results are consistent with the notion that illiquidity arises when traders fear speculative pressure against the smaller currency and confirms the asymmetry hypothesis of our theoretical model. |
| Keywords: | Foreign Exchange Intervention; Exchange Rate Spreads; Intraday Data |
| JEL: | D53 E58 F31 G15 |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kuiedp:1020&r=mon |
| By: | Galimberti, Jaqueson K.; Moura, Marcelo L. |
| Date: | 2010–10 |
| URL: | http://d.repec.org/n?u=RePEc:ibm:ibmecp:wpe_211&r=mon |
| By: | Yu-chin Chen; Kwok Ping Tsang; Wen Jen Tsay |
| Abstract: | The "home bias" phenomenon states that empirically, economic agents often under- utilize opportunities beyond their country borders, and it is well-documented in various international pricing and purchase patterns. This bias manifests in the forms of fewer exchanges of goods and net equity-holdings, as well as less arbitrage of price differences across borders than theoretically predicted to be optimal. Our paper documents another form of home bias, where market participants appear to under-weigh information beyond their borders when making currency forecasts. Using monthly data from 1995 to 2010 for seven major exchange rates relative to the US dollar, we show that excess currency returns and the errors in investors' consensus forecasts not only depend on the interest differentials between the pair of countries, but they depend more strongly on interest rates in a broader set of countries. A global short interest differential and a global long interest differential are driving the results. |
| Keywords: | Survey Data, Excess Currency Returns, Global Shock |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:vpi:wpaper:e07-18&r=mon |