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



GR


US-Ger        US-UK        US-Japan


BIG



Grilli-Roub.


Figure 15: Impulse response function of the real exchange rate, conditional
on a foreign monetary policy contraction. We compare the benchmark iden-
tification and imposing
i* — i ≥ 0 in the GR VAR specification to the BIG
VAR specification as well as the recursive Grilli-Roubini identification.


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