G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4038
DP4038 Relative Performance Evaluation Contracts and Asset Market Equilibrium
Henry Allan Timmermann; Sandeep Kapur
发表日期2003-09-23
出版年2003
语种英语
摘要High interest rates to defend the exchange rate signal that a government is committed to fixed exchange rates, but may also signal weak fundamentals. We test the effectiveness of the interest rate defense by disaggregating into the effects on future interest rates differentials, expectations of future exchange rates, and risk premia. While much previous empirical work has been inconclusive due to offsetting effects, tests that ?disaggregate? the effects provide significant information. Raising overnight interest rates strengthens the exchange rate over the short-term, but also leads to an expected depreciation at a horizon of a year and longer and an increase in the risk premium, consistent with the argument that it also signals weak fundamentals.
主题International Macroeconomics
关键词Currency crises Interest rate defense Speculative attacks Signalling
URLhttps://cepr.org/publications/dp4038
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/533014
推荐引用方式
GB/T 7714
Henry Allan Timmermann,Sandeep Kapur. DP4038 Relative Performance Evaluation Contracts and Asset Market Equilibrium. 2003.
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