| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13010 |
| 来源ID | Working Paper 13010 |
| Is Bad News About Inflation Good News for the Exchange Rate? | |
| Richard Clarida; Daniel Waldman | |
| 发表日期 | 2007-04-02 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We show in a simple—but robust—theoretical monetary exchange rate model that the sign of the covariance between an inflation surprise and the nominal exchange rate can tell us something about how monetary policy is conducted. Specifically, we show that 'bad news' about inflation—that it is higher than expected—can be 'good news' for the nominal exchange rate—that it appreciates on this news—if the central bank has an inflation target that it implements with a Taylor Rule. The empirical work in this paper examines point sampled data on inflation announcements and the reaction of nominal exchange rates in 10 minute windows around these announcements for 10 countries and several different inflation measures for the period July 2001 through March 2005. When we pool the data, we do in fact find that bad news about inflation is indeed good news for the nominal exchange rate, that the results are statistically significant, and that the r-square is substantial, in excess of 0.25 for core measures of inflation. We also find significant differences comparing the inflation targeting countries and the two non-inflation targeting countries. |
| 主题 | Macroeconomics ; Business Cycles ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w13010 |
| 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/570677 |
| 推荐引用方式 GB/T 7714 | Richard Clarida,Daniel Waldman. Is Bad News About Inflation Good News for the Exchange Rate?. 2007. |
| 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 | ||
| w13010.pdf（211KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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