全球智库信息集成服务系统(G2TT): A Simple Test of the Effect of Interest Rate Defense

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12616
来源ID	Working Paper 12616
	A Simple Test of the Effect of Interest Rate Defense
	Allan Drazen; Stefan Hubrich
发表日期	2006-10-20
出版年	2006
语种	英语
摘要	High interest rates to defend the exchange rate signal that a government is committed to fixed exchange rates, but may also signal weak fundamentals. We test the effectiveness of the interest rate defense by disaggregating into the effects on future interest rates differentials, expectations of future exchange rates, and risk premia. While much previous empirical work has been inconclusive due to offsetting effects, tests that "disaggregate" the effects provide significant information. Raising overnight interest rates strengthens the exchange rate over the short-term, but also leads to an expected depreciation at a horizon of a year and longer and an increase in the risk premium, consistent with the argument that it also signals weak fundamentals.
主题	International Economics ; International Finance
URL	https://www.nber.org/papers/w12616
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/570278
推荐引用方式 GB/T 7714	Allan Drazen,Stefan Hubrich. A Simple Test of the Effect of Interest Rate Defense. 2006.