| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17133 |
| 来源ID | Working Paper 17133 |
| Risk, Monetary Policy and the Exchange Rate | |
| Gianluca Benigno; Pierpaolo Benigno; Salvatore Nisticò | |
| 发表日期 | 2011-06-16 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | In this research, we provide new empirical evidence on the importance of time-varying uncertainty for the exchange rate and the excess return in currency markets. Following an increase in monetary policy uncertainty, the dollar exchange rate appreciates in the medium run, while an increase in the volatility of productivity leads to a dollar depreciation. We propose a general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time-varying uncertainty aimed at understanding these regularities. In the model, the behaviour of the exchange rate following nominal and real volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing are important in accounting for the negative coefficient in the UIP regression. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w17133 |
| 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/574807 |
| 推荐引用方式 GB/T 7714 | Gianluca Benigno,Pierpaolo Benigno,Salvatore Nisticò. Risk, Monetary Policy and the Exchange Rate. 2011. |
| 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 | ||
| w17133.pdf（941KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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