| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15289 |
| DP15289 Monetary Policy Surprises and Exchange Rate Behavior | |
| Refet Gürkaynak; A. Hakan Kara; Burçin Kısacıkoğlu; Sang Seok Lee | |
| 发表日期 | 2020-09-12 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using eventstudies and ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational assumptions make a standard two- country New Keynesian model match this behavior. To identify the particular mechanism, we condition on multiple asset prices in the eventstudy and model implications for these. We find that there is heterogeneity in this dimension in the eventstudy and no model with a single regime can match the evidence. Further, even after conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates. Our results show that existing models have a long way to go in reconciling eventstudy analysis with model-based mechanisms of asset pricing. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Exchange rate response to monetary policy Central bank information effect Open economy macro-finance modeling |
| URL | https://cepr.org/publications/dp15289 |
| 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/544266 |
| 推荐引用方式 GB/T 7714 | Refet Gürkaynak,A. Hakan Kara,Burçin Kısacıkoğlu,et al. DP15289 Monetary Policy Surprises and Exchange Rate Behavior. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
