| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17119 |
| DP17119 A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers | |
| Pierre-Olivier Gourinchas; Walker Ray; Dimitri Vayanos | |
| 发表日期 | 2022-03-18 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome by global arbitrageurs with limited capital. Our model accounts for the empirically documented violations of Uncovered Interest Parity (UIP) and the Expectations Hypothesis, and for how UIP violations depend on bond maturity, investment horizon, and yield curve slope differentials. Large-scale purchases of long-maturity bonds lower domestic and foreign bond yields, and depreciate the currency. Conventional monetary policy is transmitted to domestic and international bond yields as well, but its international transmission is weaker than for unconventional policy. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Exchange rates Interest rates monetary policy Limits of arbitrage |
| URL | https://cepr.org/publications/dp17119 |
| 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/546094 |
| 推荐引用方式 GB/T 7714 | Pierre-Olivier Gourinchas,Walker Ray,Dimitri Vayanos. DP17119 A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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