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19 results on '"De, Kuhelika"'

9. REAL EXCHANGE RATE, MONETARY POLICY, AND THE U.S. ECONOMY: EVIDENCE FROM A FAVAR MODEL

Author

Sun, Wei and De, Kuhelika

Subjects
Shock -- Analysis -- Economic aspects, Economic conditions -- Analysis -- Economic aspects, Monetary policy -- Analysis -- Economic aspects, Foreign exchange rates -- Analysis -- Economic aspects, Foreign exchange -- Analysis -- Economic aspects, Foreign exchange market -- Analysis -- Economic aspects, Financial markets, Business, general, Economics, International Monetary Fund -- Economic policy
Abstract

This paper examines the effects of exchange rate depreciation to the U.S. economy in a factor-augmented vector autoregression model using monthly data of 148 variables for the post-Bretton Woods period of 1973-2017. Exchange rate shock is identified to reflect exogenous disturbances to the foreign exchange market, and movements in exchange rate that are not accounted for by changes in the U.S. monetary policy. We find that depreciation is expansionary and inflationary to the broad U.S. economy, the current account improves over time conforming to the J-curve theory, and monetary policy is leaning against the wind. (JEL E3, E5, F31, F32, F41), I. INTRODUCTION The breakdown of the Bretton Woods system in the early 1970s embarked on the transition of the world monetary system from fixed exchange rates to floating. With accelerated [...]

Published
2019
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14. Macroeconomic Shocks and Racial Labour Market Differences in the U.S

Author

De, Kuhelika, Compton, Ryan A., Giedeman, Daniel C., and Hoover, Gary A.

Subjects
J15, unemployment, J10, FAVAR, monetary policy, labour market, racial inequality, business cycles, sign restrictions, ddc:330, E24, macroeconomic shocks, C32, E52, E32
Abstract

Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply – on the labour market outcomes of black and white Americans. Our results indicate that adverse macroeconomic shocks have differential effects on labour market outcomes for blacks and whites, hurting blacks disproportionately relative to whites. Black Americans appear to be significantly more sensitive to macroeconomic shocks than white Americans. Evidence from our FAVAR model, which uses information on contractionary initiatives by the Federal Reserve, indicates that the employment-population ratio among black Americans falls close to twice as much as that among white Americans, primarily due to an increase in their unemployment rate and not a decline in labour force participation rate. Policymakers should take account of these heterogeneous effects across racial groups when implementing disinflationary guiding policy.

Published
2019

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