Delayed Overshooting: Is It an '80s Puzzle?

• 成果类型: Article
• 署名作者: Kim, Seong-Hoon; Moon, Seongman; Velasco, Carlos
• 署名单位: Yonsei University; Jeonbuk National University; Universidad Carlos III de Madrid
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/693372
• 发表日期: 2017
• 页码: 1570-1598
• 关键词: monetary-policy; agnostic identification; structural-change; shocks; tests

摘要

We reinvestigate the delayed overshooting puzzle. Using a method of sign restrictions, we find that delayed overshooting is primarily a phenomenon of the 1980s when the Fed was under the chairmanship of Paul Volcker. Related findings are as follows: (1) Uncovered interest parity fails to hold during the Volcker era and tends to hold during the post-Volcker era; (2) US monetary policy shocks have substantial impacts on exchange rate variations but misleadingly appear to have small impacts when monetary policy regimes are pooled. In brief, we confirm Dornbusch's overshooting hypothesis.