Is it real or is it Memorex?
persistence or mean reversion?
fwiw, the Eichenbaum-Evans article shows the response of the short term interest rate spread to a one standard deviation to monetary policy shock (defined change in nonborrowed reserves as share of total reserives) peaks before 5 months, dies out after ten...then is weird. Short term interest rates -- US 90 day bill and International Financial Statistics tape.
"... a positive shock...leads to a persistent increase in...the spread between short term foreign and US interest rates...initial impact...is a (28,28,27,22,44) basis point change in the spread for ...(yen,DM,Lira,FF,PD)...and persistent depreciations in real and nominal exchange rates [foreign currency price of a dollar]...does not occur contemporaneously ...maximal impact on [nominal XR] occurs (22,34,37,35,39) months after..."
similar findings when monetary policy is defined as a change in the fed funds rate...
As always, good to read the fine print for assumptions about third economists...and the article dates to 1992, and assumes foreign variables not included in central bank's rule setting....ha ha, this time...
OSP's good one, Duncan...
To all: a brief farewell to thread as I decamp to a different location and incur the setup costs of alternate means of communication. You're all great! Take care...
Nancy |
