G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w24059
来源IDWorking 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
URLhttps://www.nber.org/papers/w24059
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/581733
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GB/T 7714
Charles Engel,Dohyeon Lee,Chang Liu,et al. The Uncovered Interest Parity Puzzle, Exchange Rate Forecasting, and Taylor Rules. 2017.
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