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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP4038 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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