| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16218 |
| 来源ID | Working Paper 16218 |
| Monetary Policy and the Uncovered Interest Parity Puzzle | |
| David K. Backus; Federico Gavazzoni; Christopher Telmer; Stanley E. Zin | |
| 发表日期 | 2010-07-22 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | High interest rate currencies tend to appreciate. This is the uncovered interest rate parity (UIP) puzzle. It is primarily a statement about short-term interest rates and how they are related to exchange rates. Short-term interest rates are strongly affected by monetary policy. The UIP puzzle, therefore, can be restated in terms of monetary policy. Do foreign and domestic monetary policies imply exchange rates that violate UIP? We represent monetary policy as foreign and domestic Taylor rules. Foreign and domestic pricing kernels determine the relationship between these Taylor rules and exchange rates. We examine different specifications for the Taylor rule and ask which can resolve the UIP puzzle. We find evidence in favor of a particular asymmetry. If the foreign Taylor rule responds to exchange rate variation but the domestic Taylor rule does not, the model performs better. A calibrated version of our model is consistent with many empirical observations on real and nominal exchange rates, including Fama's negative correlation between interest rate differentials and currency depreciation rates. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w16218 |
| 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/573893 |
| 推荐引用方式 GB/T 7714 | David K. Backus,Federico Gavazzoni,Christopher Telmer,et al. Monetary Policy and the Uncovered Interest Parity Puzzle. 2010. |
| 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 | ||
| w16218.pdf（508KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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