| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13597 |
| DP13597 Exchange Rate Undershooting: Evidence and Theory | |
| Gernot Müller; Martin Wolf; Thomas Hettig | |
| 发表日期 | 2019-03-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We reconsider the delayed overshooting puzzle through the lens of a New Keynesian model with information rigidities. In the model, market participants do not directly observe the natural rate of interest and learn from unanticipated shifts in monetary policy about the state of the economy. We estimate the model and find that it can account for the joint responses of spot and forward exchange rates, excess returns, and macroeconomic indicators to monetary policy shocks. Our results suggest that information rigidities are important for understanding exchange rate dynamics. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | exchange rate Forward exchange rates Excess return Uip puzzle monetary policy Information effect Information rigidities |
| URL | https://cepr.org/publications/dp13597-0 |
| 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/542455 |
| 推荐引用方式 GB/T 7714 | Gernot Müller,Martin Wolf,Thomas Hettig. DP13597 Exchange Rate Undershooting: Evidence and Theory. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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