Reexamination of Dornbusch's Overshooting Model: Empirical Evidence on the Saddle Path

• 資料種別: 文書・図像類
• タイトル: Reexamination of Dornbusch's Overshooting Model: Empirical Evidence on the Saddle Path
• 著者・編者: 福本,幸男
• 著者標目: 福本,幸男
• 本文の言語コード: eng
• 件名標目: Dornbusch's overshooting model / saddle path / exchange rate dynamics
• 対象利用者: 一般
• 一般注記: type:80 大阪経大学会「Working Paper」; Recently, the phenomenon that the movement of exchange rates in response to monetary shocks does not reach a peak instantaneously, known as the delayed overshooting puzzle, has attracted the attention of many researchers. Although it is important to pay attention before the peak of the overshoot, it is also necessary to take account of the convergence process after the peak to assess Dornbusch’s model appropriately. As is well known, the saddle path is the process by which the new steady state is reached. Our empirical results based on the structural vector autoregression (VAR) analysis using yen-dollar and mark-dollar rates show that the processes are unstable. Therefore, it is possible that the convergence processes deviate from the saddle paths or that the saddle paths shift on their way toward the steady state. However, the phenomenon cannot explain in a regular theoretical sense under the structural VAR analysis’s supposition that an additional shock does not occur after the initial shock. Our results have implications for future research on exchange rate dynamics, although it is not possible for us to explain the mechanism of this phenomenon without further investigation.
• 一次資料へのリンクURL: http://www.i-repository.net/il/user_contents/02/G0000031Repository/workingpaper/wp2007-7.pdf
• オンライン閲覧公開範囲: 限定公開
• 連携機関・データベース: 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• 提供元機関・データベース: 大阪経済大学 : 大阪経済大学機関リポジトリ