Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82305
Authors: 
Beier, Niels C.
Storgaard, Peter E.
Year of Publication: 
2006
Series/Report no.: 
Danmarks Nationalbank Working Papers 38
Abstract: 
We demonstrate how to identify monetary policy under fixed exchange rates in a structural vector autoregression (SVAR) using Denmark as a case study. The identifying restrictions are compared to SVARs for flexible exchange-rate regimes. Our basic model generates a plausible central-bank reaction function, and the responses to monetary shocks are in accordance with theory. We extend the basic model and econometric approach to incorporate the central bank's interventions on the foreign-exchange market.
Subjects: 
foreign exchange intervention
monetary policy
structural VAR
exchange rate
reaction function
fixed exchange rate
JEL: 
F31
E52
C32
Document Type: 
Working Paper

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