| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13401 |
| DP13401 Liquidity and Exchange Rates - An Empirical Investigation | |
| Charles Engel; Steve Pak Yeung Wu | |
| 发表日期 | 2018-12-17 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We find strong empirical evidence that economic fundamentals can well account for nominal exchange rate movements. The important innovation is that we include the liquidity yield on government bonds as an explanatory variable. We find impressive evidence that changes in the liquidity yield are significant in explaining exchange rate changes for all of the G10 countries. Moreover, after controlling for liquidity yields, traditional determinants of exchange rates - adjustment toward purchasing power parity and monetary shocks - are also found to be economically and statistically significant. We show how these relationships arise out of a canonical two-country New Keynesian model with liquidity returns. Additionally, we find a role for sovereign default risk and currency swap market frictions. |
| 主题 | International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp13401 |
| 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/542211 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Steve Pak Yeung Wu. DP13401 Liquidity and Exchange Rates - An Empirical Investigation. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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