Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance
提出一种新计量方法，在时变工具相关性下估计美国货币政策冲击对汇率、通胀和实际经济活动的时变效应，发现冲击大小而非传导机制是效应变化主因。
Summary We propose a novel econometric approach to estimating time‐varying policy effects using external instruments in the presence of time‐varying instrument relevance in a factor‐augmented VAR model with data on the United States, Canada, Germany, Japan, and the United Kingdom. We find that US monetary policy shocks are an important driver of the exchange rate movements, with no delayed overshooting. We show that estimates of spillover effects of US monetary policy shocks on the inflation and real economic activity would be distorted without considering time variation in instrument relevance, and time variation in policy effects reflects primarily varying shock size, not their transmission.