Title：Exchange Rate Dynamics and Global Monetary Policy Spillovers: Time-Varying Dynamic Causal Effects

　　Schedule: Oct 14, TH 12:00-1:00 PM

　　Location: Rm 315, Chengming Hall (诚明楼) & 腾讯会议 at 670 256 633

　　

　　 Abstract:We propose a novel econometric approach to estimate time-varying dynamic causal effects of structural shocks using external instruments in a factor-augmented-VAR model. Using Bayesian MCMC estimation method, we estimate a model consisting of output, inflation rates, interest rates, and exchange rates for the United States, Canada, Germany, Japan, and the United Kingdom. We find uniformly strong evidence over time that the exchange rate overshoots in response to an exogenous monetary policy shock. Furthermore, we find that the monetary policy shock played a significant role in the exchange rate dynamics, and its contributions were particularly large during the 2008-2009 financial crisis

题目： 汇率和全球货币政策外溢-时变的动态因果关系

摘要：我们提出一个新的计量方法来处理因子扩充的向量自回归模型的时变因果关系。依据贝叶斯估计方法，我们对美国、加拿大、德国、日本和英国估计了一个包含产出、通膨、利率和汇率的模型。我们发现在一个外生的货币政策冲击之后，汇率会过度反应。此外，我们发现货币政策冲击解释了很大部分的汇率变动，尤其是在2008金融危机时。

　　Introduction：廖闻亭，经济学博士，中国人民大学财政金融学院讲师，毕业于美国东北大学，主要研究领域为实证宏观与金融，国际金融以及应用时间序列。