| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3713 |
| DP3713 Optimal and Time-Consistent Monetary and Fiscal Policy with Heterogeneous Agents | |
| Stefania Albanesi | |
| 发表日期 | 2003-01-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We propose a new explanation for the forward-premium and the delayed-overshooting puzzles. Both puzzles arise from a systematic under-reaction of short-term interest rate forecasts to current innovations. Accordingly, the forward premium is always a biased predictor of future depreciation; the bias can be so severe as to lead to negative coefficients in the ?Fama? regression; delayed overshooting may or may not occur depending upon the persistence of interest rate innovations and the degree of under-reaction; lastly, for G-7 countries against the US, these puzzles can be rationalized for values of the model's parameters that match empirical estimates. |
| 主题 | International Macroeconomics |
| 关键词 | Forward premium puzzle Delayed overshooting Predictable returns monetary policy |
| URL | https://cepr.org/publications/dp3713 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532688 |
| 推荐引用方式 GB/T 7714 | Stefania Albanesi. DP3713 Optimal and Time-Consistent Monetary and Fiscal Policy with Heterogeneous Agents. 2003. |
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