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Bibliographic Record
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- Material Type
- 文書・図像類
- Author/Editor
- 福本,幸男
- Author Heading
- Text Language Code
- eng
- Target Audience
- 一般
- Note (General)
- 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.
- Source
- http://www.i-repository.net/il/user_contents/02/G0000031Repository/workingpaper/wp2007-7.pdf
- Access Restrictions
- 限定公開