G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15289
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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Refet Gürkaynak]的文章
[A. Hakan Kara]的文章
[Burçin Kısacıkoğlu]的文章
百度学术
百度学术中相似的文章
[Refet Gürkaynak]的文章
[A. Hakan Kara]的文章
[Burçin Kısacıkoğlu]的文章
必应学术
必应学术中相似的文章
[Refet Gürkaynak]的文章
[A. Hakan Kara]的文章
[Burçin Kısacıkoğlu]的文章
相关权益政策
暂无数据
收藏/分享

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。