| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6501 |
| DP6501 Monetary Policy, Default Risk and the Exchange Rate | |
| Bernardo Guimaraes | |
| 发表日期 | 2007-09-28 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of changes in interest rates on the exchange rate in Brazil using data from the dates surrounding the monetary policy committee meetings and the methodology of identification through heteroskedasticity. Indeed, we find that unexpected increases in interest rates tend to lead the Brazilian currency to depreciate. It follows that granting more independence to a central bank that focus solely on inflation is not always a free-lunch. |
| 主题 | International Macroeconomics |
| 关键词 | Default exchange rate Identification through heteroskedasticity monetary policy |
| URL | https://cepr.org/publications/dp6501 |
| 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/535340 |
| 推荐引用方式 GB/T 7714 | Bernardo Guimaraes. DP6501 Monetary Policy, Default Risk and the Exchange Rate. 2007. |
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