smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2018SMQ / 18488674575239
The effects of conventional and unconventional monetary policy on exchange rates
Atsushi Inoue / Barbara Rossi
causal identification / econometricsResource overview

The effects of conventional and unconventional monetary policy on exchange rates

Paper2018

by Atsushi Inoue, Barbara Rossi

Tags
causal identificationeconometricsforeign exchangeinterest rates

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for financial time series and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Econometrics and Financial Time Series Explore Fixed Income and Interest-Rate Models

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Atsushi Inoue, Barbara Rossi

6