GR
US-Ger US-UK US-Japan
US/GE q ≥ 0
US/UK q ≥ 0
US/JP q ≥ 0
0 5 10 15 2 0 25 30 35 4 0 45 50 55 6 0
Months
0 5 10 15 20 a 3 3 40 45 5 » 60
Months
Grilli-Roub.
0 5 10 15 2 0 2 5 30 35 4 0 45 50 55 6 0
Months
US/UK q ≥ 0
US/JP q ≥ 0
0 5 10 1 5 2 0 25 30 3 5 4 0 45 50 5 5 6 0
Months
0 5 10 15 20 a a a 40 45 a a 60
Months
Figure 16: Distribution for the sign q ≥ 0 of the real exchange rate, condi-
tional on a foreign monetary policy contraction. We compare the benchmark
identification and imposing i* — i ≥ 0 in the GR VAR specification to the
BIG VAR specification as well as the recursive Grilli-Roubini identification.
GR
US-Ger
US-UK US-Japan
Grilli-Roub.
Figure 17: Impulse response function of the price level, conditional on a
foreign monetary policy contraction. We compare the benchmark identifica-
tion and imposing i* — i ≥ 0 in the GR VAR specification to the recursive
Grilli-Roubini identification. Note that there is a considerable price puzzle
in the Grilli-Roubini specification, which is avoided with sign restrictions by
construction.
51
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