| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11498 |
| DP11498 Exchange Rate Behavior with Negative Interest Rates: Some Early Negative Observations | |
| Andrew Rose; Allaudeen Hameed | |
| 发表日期 | 2016-09-14 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data of 61 currencies from Jan 2010 through May 2016; during this time five economies (Denmark, EMU, Japan, Sweden, and Switzerland) experienced negative nominal interest rates. We examine both effective exchange rates and bilateral rates, the latter typically measured against the Swiss franc since Switzerland has had the longest period of negative nominal rates. We examine exchange rate volatility, exchange rate changes, deviations from uncovered interest parity, and profits from the carry trade. We find that negative interest rates seem to have little effect on observable exchange rate behavior. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Volatility Deviation Uncovered Interest Parity Carry Trade Daily Data Nominal |
| URL | https://cepr.org/publications/dp11498 |
| 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/540312 |
| 推荐引用方式 GB/T 7714 | Andrew Rose,Allaudeen Hameed. DP11498 Exchange Rate Behavior with Negative Interest Rates: Some Early Negative Observations. 2016. |
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