Replication data for: The Exchange Rate Response to Monetary Policy Innovations

Carlos A. Vegh, Viktoria Hnatkovska & Amartya Lahiri
We present a new data fact: in response to a monetary tightening, the domestic currency tends to appreciate in developed countries but depreciate in developing countries. A model is developed to rationalize this contrasting pattern. It has three key channels of monetary transmission: a liquidity demand channel, a fiscal channel, and an output channel. The paper shows that a calibrated version of the model can explain the contrast between developed and developing countries. Using counterfactual...
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