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- W2891550139 abstract "We first show that the solution to the real exchange rate under the Taylor rule with interest rate smoothing can have two alternative representations—one based on a first‐order difference equation and the other based on a second‐order difference equation. Then, by comparing error terms from these two alternative representations and analyzing their second moments, we evaluate the relative importance of Taylor‐rule fundamentals, monetary policy shocks, and risk‐premium shocks in the dynamics of the real exchange rate. Empirical results suggest that the risk‐premium shock is the largest contributor to real exchange rate movements for all the countries examined, with the Taylor‐rule fundamentals and monetary policy shocks playing a limited role. These results are robust to various alternative sets of parameter values considered for the Taylor rule with interest rate smoothing." @default.
- W2891550139 created "2018-09-27" @default.
- W2891550139 creator A5008421230 @default.
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- W2891550139 date "2018-09-03" @default.
- W2891550139 modified "2023-10-17" @default.
- W2891550139 title "Real exchange rate dynamics: Relative importance of Taylor-rule fundamentals, monetary policy shocks, and risk-premium shocks" @default.
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- W2891550139 doi "https://doi.org/10.1111/roie.12372" @default.
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