| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11918 |
| DP11918 Monetary policy's rising FX impact in the era of ultra-low rates | |
| Paul Schrimpf; Jonathan Kearns; Massimo Ferrari | |
| 发表日期 | 2017-03-18 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We show that the FX impact of monetary policy has been growing significantly. We use a high-frequency event study of the joint response of fixed income instruments and exchange rates to monetary policy news from seven major central banks spanning 2004-2015. News affecting short maturity bonds have the strongest impact, highlighting the relevance of communication regarding the path of future policy. The FX impact of monetary policy is state-dependent and is stronger the lower is the level of interest rates. A greater adjustment burden falls onto the exchange rate, as rates are increasingly constrained by the effective lower bound. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Exchange rates Unconventional monetary policy Forward guidance Event study High frequency data |
| URL | https://cepr.org/publications/dp11918 |
| 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/540730 |
| 推荐引用方式 GB/T 7714 | Paul Schrimpf,Jonathan Kearns,Massimo Ferrari. DP11918 Monetary policy's rising FX impact in the era of ultra-low rates. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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