| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4271 |
| 来源ID | Working Paper 4271 |
| Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates | |
| Martin Eichenbaum; Charles L. Evans | |
| 发表日期 | 1993-02-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | This paper presents new empirical evidence on the effects of monetary policy shocks on U.S. exchange rates, both nominal and real. Three measures of monetary policy shocks are considered: orthogonalized shocks to the Federal Funds rate, the ratio of Non Borrowed to Total Reserves and the Romer and Romer (1989) index. Using data from the flexible exchange rate era, we find that expansionary shocks to U.S. monetary policy lead to sharp. persistent depreciations in U.S. nominal and real exchange rates as well as to sharp. persistent increases in the spread between various foreign and U.S. interest rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is inconsistent with simple overshooting models of the type considered by Dornbusch (1976). We also find that U.S. monetary policy was less volatile under fixed exchange rates than under floating exchange rates. Finally, we find less evidence that monetary policy shocks had a significant impact on U.S. real exchange rates under the Bretton Woods agreement. |
| 主题 | International Economics ; International Macroeconomics ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w4271 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561631 |
| 推荐引用方式 GB/T 7714 | Martin Eichenbaum,Charles L. Evans. Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4271.pdf（1613KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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