| 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 | |
| 发表日期 | 2019-03-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We run local projections to estimate the effect of US monetary policy shocks on the dollar. We find that monetary contractions appreciate the dollar and establish two results. First, the spot exchange rate undershoots: the appreciation is smaller on impact than in the longer run. Second, forward exchange rates also appreciate on impact, but their response is flat across tenors. Next, we develop and estimate a New Keynesian model with information frictions. In the model, investors do not observe the natural rate of interest directly. As a result, they learn only over time whether an interest rate surprise represents a monetary contraction. The model accurately predicts the joint dynamics of spot and forward exchange rates following a monetary contraction. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Spot exchange rate Forward exchange rate monetary policy Information effect Information frictions Uip puzzle Forward premium puzzle |
| URL | https://cepr.org/publications/dp13597 |
| 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/542456 |
| 推荐引用方式 GB/T 7714 | Gernot Müller. DP13597 Exchange Rate Undershooting: Evidence and Theory. 2019. |
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