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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w21159 |
来源ID | Working Paper 21159 |
Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound | |
Menzie D. Chinn; Yi Zhang | |
发表日期 | 2015-05-11 |
出版年 | 2015 |
语种 | 英语 |
摘要 | Relying upon a standard New Keynesian DSGE, we propose an explanation for two empirical findings in the international finance literature. First, the unbiasedness hypothesis – the proposition that expost exchange rate depreciation matches interest differentials – is rejected much more strongly at short horizons than at long. Second, even at long horizons, the unbiasedness hypothesis tends to be rejected when one of the currencies has experienced a long period of low interest rates, such as in Japan and Switzerland. Using a calibrated New Keynesian dynamic stochastic general equilibrium model, we show how a monetary policy rule can induce the negative (positive) correlation between depreciation and interest differentials at short (long) horizons. The tendency to reject unbiasedness for Japan and Switzerland even at long horizons we attribute to the interaction of the monetary reaction function and the zero lower bound. |
主题 | Macroeconomics ; Macroeconomic Models ; International Economics ; International Factor Mobility ; International Finance ; International Macroeconomics |
URL | https://www.nber.org/papers/w21159 |
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/578834 |
推荐引用方式 GB/T 7714 | Menzie D. Chinn,Yi Zhang. Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound. 2015. |
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