| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6318 |
| DP6318 Stiglitz Versus the IMF on the Asian Debt Crisis: An Intertemporal Model with Real Exchange Rate Overshooting | |
| David Vines; Tatiana Kirsanova; Gordon Menzies | |
| 发表日期 | 2007-05-25 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We review Irving Fisher?s seminal work on UIP and on the closely related equation linking interest rates and inflation. Like Fisher, we find that the failures of UIP are connected to individual episodes in which errors surrounding exchange rate expectations are persistent, but eventually transitory. We find considerable commonality in deviations from UIP and PPP, suggesting that both of these deviations are driven by a common factor. Using a dynamic latent factor model, we find that deviations from UIP are almost entirely due to forecasting errors in exchange rates, a result consistent with those reported by Fisher a century ago. |
| 主题 | Financial Economics |
| 关键词 | Uip Irving fisher Expectations formation Small-sample problems |
| URL | https://cepr.org/publications/dp6318 |
| 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/535155 |
| 推荐引用方式 GB/T 7714 | David Vines,Tatiana Kirsanova,Gordon Menzies. DP6318 Stiglitz Versus the IMF on the Asian Debt Crisis: An Intertemporal Model with Real Exchange Rate Overshooting. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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