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dc.contributor.author
Bäurle, Gregor
dc.contributor.author
Kaufmann, Daniel
dc.date.accessioned
2021-11-10T07:09:49Z
dc.date.available
2017-06-11T14:13:52Z
dc.date.available
2021-01-22T15:35:29Z
dc.date.available
2021-11-10T07:09:49Z
dc.date.issued
2014
dc.identifier.issn
1660-7716
dc.identifier.issn
1660-7724
dc.identifier.uri
http://hdl.handle.net/20.500.11850/93480
dc.description.abstract
We analyse nominal exchange rate and price dynamics after risk premium shocks with short-term interest rates constrained by the zero lower bound (ZLB). In a small-open-economy DSGE model, temporary risk premium shocks lead to shifts of the exchange rate and the price level if a central bank implements an inflation target by means of a traditional Taylor rule. These shifts are strongly amplified and become more persistent once the ZLB is included in the model. We also provide empirical support for this finding. Using a Bayesian VAR for Switzerland, we find that responses of the exchange rate and the price level to a temporary risk premium shock are larger and more persistent when the ZLB is binding. Our theoretical discussion shows that alternative monetary policy rules that stabilise price-level expectations are able to dampen exchange rate and price fluctuations when the ZLB is binding. This stabilisation can be achieved by including either the price level or, alternatively, the nominal exchange rate in the policy rule.
en_US
dc.language.iso
en
en_US
dc.publisher
Swiss National Bank
en_US
dc.subject
Exchange rate and price dynamics
en_US
dc.subject
Zero lower bound on short-term interest rates
en_US
dc.subject
Small-open-economy DSGE model
en_US
dc.subject
Monetary policy regimes
en_US
dc.subject
Monetary transmission
en_US
dc.subject
Bayesian VAR
en_US
dc.subject
Sign restrictions
en_US
dc.title
Exchange rate and price dynamics in a small open economy - The role of the zero lower bound and monetary policy regimes
en_US
dc.type
Working Paper
ethz.journal.title
SNB Working Papers
ethz.journal.volume
2014-10
en_US
ethz.size
41 p.
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C1 - Econometric and Statistical Methods and Methodology: General::C11 - Bayesian Analysis: General
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C3 - Multiple or Simultaneous Equation Models; Multiple Variables::C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E3 - Prices, Business Fluctuations, and Cycles::E31 - Price Level; Inflation; Deflation
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E3 - Prices, Business Fluctuations, and Cycles::E37 - Forecasting and Simulation: Models and Applications
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit::E52 - Monetary Policy
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit::E58 - Central Banks and Their Policies
en_US
ethz.code.jel
JEL - JEL::F - International Economics::F3 - International Finance::F31 - Foreign Exchange
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
*
ethz.tag
KOF-Key-frankenschock
en_US
ethz.tag
KOF-key-inflation
ethz.identifier.url
https://www.snb.ch/de/mmr/papers/id/working_paper_2014_10
ethz.date.deposited
2017-06-11T14:14:36Z
ethz.source
ECIT
ethz.identifier.importid
imp59365299bd3ee82410
ethz.ecitpid
pub:146858
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-13T00:49:03Z
ethz.rosetta.lastUpdated
2022-03-29T15:55:47Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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