G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w21159
来源IDWorking 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
URLhttps://www.nber.org/papers/w21159
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/578834
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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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