| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24059 |
| 来源ID | Working Paper 24059 |
| The Uncovered Interest Parity Puzzle, Exchange Rate Forecasting, and Taylor Rules | |
| Charles Engel; Dohyeon Lee; Chang Liu; Chenxin Liu; Steve Pak Yeung Wu | |
| 发表日期 | 2017-11-27 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Recent research has found that the Taylor-rule fundamentals have power to forecast changes in U.S. dollar exchange rates out of sample. Our work casts some doubt on that claim. However, we find strong evidence of a related in-sample anomaly. When we include U.S. inflation in the well-known uncovered interest parity regression of the change in the exchange rate on the interest-rate differential, we find that the inflation variable is highly significant and the interest-rate differential is not. Specifically, high U.S. inflation in one month forecasts dollar appreciation in the subsequent month. We introduce a model in which a Taylor rule determines monetary policy, but in which not only monetary shocks but also liquidity shocks drive nominal interest rates. This model can potentially account for the empirical findings. |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w24059 |
| 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/581733 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Dohyeon Lee,Chang Liu,et al. The Uncovered Interest Parity Puzzle, Exchange Rate Forecasting, and Taylor Rules. 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 | ||
| w24059.pdf（331KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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