全球智库信息集成服务系统(G2TT): DP3983 Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP3983
	DP3983 Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
	LUCIO SARNO; Giorgio Valente; Mark E Wohar
发表日期	2003-07-23
出版年	2003
语种	英语
摘要	In deciding a monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to construct genuine real time forecasts of year-on-year risks that may be used in policy-making. We demonstrate the usefulness of these risk forecasts in understanding the Fed?s decision to tighten monetary policy in 1984, 1988, and 1994. Second, we forecast the risks of worldwide deflation for horizons of up to two years. Although recently fears of worldwide deflation have increased, we find that, as of September 2002, with the exception of Japan, there is no evidence of substantial deflation risks. We also put the estimates of deflation risk for the United States, Germany and Japan into historical perspective. We find that only for Japan there is evidence of deflation risks that are unusually high by historical standards.
主题	International Macroeconomics
关键词	Risk Forecast monetary policy Price stability inflation Deflation
URL	https://cepr.org/publications/dp3983
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/532961
推荐引用方式 GB/T 7714	LUCIO SARNO,Giorgio Valente,Mark E Wohar. DP3983 Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes. 2003.