| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23158 |
| 来源ID | Working Paper 23158 |
| Monetary Policy and the Predictability of Nominal Exchange Rates | |
| Martin Eichenbaum; Benjamin K. Johannsen; Sergio Rebelo | |
| 发表日期 | 2017-02-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts future changes in the nominal exchange rate. Second, the real exchange rate is a poor predictor of future inflation rates. We estimate a medium-size DSGE open-economy model that accounts quantitatively for these facts as well as other empirical properties of real and nominal exchange rates. The key estimated shocks that accounts for the dynamics of exchange rates and their covariance with inflation are disturbances to the foreign demand for dollar-denominated bonds. |
| 主题 | Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w23158 |
| 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/580832 |
| 推荐引用方式 GB/T 7714 | Martin Eichenbaum,Benjamin K. Johannsen,Sergio Rebelo. Monetary Policy and the Predictability of Nominal Exchange Rates. 2017. |
| 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 | ||
| w23158.pdf（432KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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