Monetary policy and exchange rate anomalies in set‐identified SVARs: Revisited
在类似Kim等人(2017)的框架下，通过补充货币政策对经济反应和历史创新的识别限制，重新检验了紧缩性货币政策冲击后的未抛补利率平价偏离和延迟过度调整现象，发现无重大远期贴水溢价，且汇率过度调整延迟减少。
Summary Set‐identified vector autoregressions typically document violations of uncovered interest rate parity ( forward discount puzzle ) and gradual appreciation–depreciation cycles of exchange rates ( delayed overshooting puzzle ) following contractionary monetary policy shocks. We revisit both anomalies in a framework similar to Kim et al. (2017, JPE). We complement their identifying restrictions on how monetary policy affects the economy with restrictions on (i) how monetary policy reacts to the economy and (ii) historical monetary policy innovations. In this hybrid identification, no major forward discount premia emerge. Once we additionally impose that monetary policy propagates through domestic financial conditions, exchange rates also overshoot with less delay.