全球智库信息集成服务系统(G2TT): Interest Rates and the Exchange Rate: A Non-Monotonic Tale

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w13925
来源ID	Working Paper 13925
	Interest Rates and the Exchange Rate: A Non-Monotonic Tale
	Viktoria Hnatkovska; Amartya Lahiri; Carlos A. Vegh
发表日期	2008-04-03
出版年	2008
语种	英语
摘要	What is the relationship between interest rates and the exchange rate? The empirical literature in this area has been inconclusive. We use an optimizing model of a small open economy to rationalize the mixed empirical findings. The model has three key margins. First, higher domestic interest rates raise the demand for deposits, and, hence, the money base. Second, firms need bank loans to finance the wage bill, which reduces output when domestic interest rates increase. Lastly, higher interest rates raise the government's fiscal burden, and, therefore, can lead to higher expected inflation. While the first effect tends to appreciate the currency, the remaining two effects tend to depreciate it. We then conduct policy experiments using a calibrated version of the model and show the central result of the paper: the relationship between interest rates and the exchange rate is non-monotonic. In particular, the exchange rate response depends on the size of the interest rate increase and on the initial level of the interest rate. Moreover, we also show that the model can replicate the heterogeneous responses of the exchange rate to interest rate innovations in several developing economies.
主题	Macroeconomics ; Monetary Policy ; International Economics ; International Macroeconomics
URL	https://www.nber.org/papers/w13925
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/571599
推荐引用方式 GB/T 7714	Viktoria Hnatkovska,Amartya Lahiri,Carlos A. Vegh. Interest Rates and the Exchange Rate: A Non-Monotonic Tale. 2008.

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
w13925.pdf（588KB）	智库出版物		限制开放	CC BY-NC-SA	浏览