Measuring Monetary Policy in Open Economies

Cerdeiro, Diego A.

关键词: ABSOLUTE VALUE;    ACCOUNTING;    ASSETS;    AUTOREGRESSION;    BALANCE OF PAYMENTS;   

DOI  :  10.1596/1813-9450-5252
RP-ID  :  WPS5252

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The paper extends Bernanke andMihov's [6] closed-economy strategy for identificationof monetary policy shocks to open-economy settings,accounting for the simultaneity between interest-rate andexchange-rate innovations. The methodology allows a separatetreatment of two distinct monetary policy shocks, one thatoperates through open market operations, and another onethat takes place through interventions in the foreignexchange market. Implementation of this strategy to the caseof Argentina provides the stylized facts necessary to chooseamong competing theoretical models of this economy. Inaddition to studying the effects of monetary policyinnovations, the present study sheds light on the endogenouscomponent of monetary policy. In this regard, the paperfinds that, notwithstanding the relative stability of theexchange rate and the accumulation of large amounts ofinternational reserves, the central bank in Argentina hasbeen far from absorbing balance of payments shocks in acurrency-board fashion. The growing level of internationalreserves can be rationalized, instead, as the monetaryauthority's response to terms of trade, supply anddomestic currency demand shocks.