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来源类型Working Paper
规范类型报告
DOI10.3386/w23158
来源IDWorking 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
URLhttps://www.nber.org/papers/w23158
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/580832
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GB/T 7714
Martin Eichenbaum,Benjamin K. Johannsen,Sergio Rebelo. Monetary Policy and the Predictability of Nominal Exchange Rates. 2017.
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