New Evidence on the Puzzles. Results from Agnostic Identification on Monetary Policy and Exchange Rates.



EE


US-Ger US-UK

US/GE SR


0   12   3   4

years


BIG


Eich.-Evans




US-Japan

1.5

1

0.5

0


∖-χ—

0   12   3  4

years




Figure 12: Impulse responses for the Sharpe ratio for one-period arbitrage
trades ξ
k between k - 1 and k of a Bayesian investor, conditional on a US
monetary policy contraction.

45



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