| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25380 |
| 来源ID | Working Paper 25380 |
| Exchange Rates and Uncovered Interest Di\ufb00erentials: The Role of Permanent Monetary Shocks | |
| Stephanie Schmitt-Grohé; Martín Uribe | |
| 发表日期 | 2018-12-24 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper estimates an empirical model of exchange rates and uncovered interest rate differentials with permanent U.S. monetary policy shocks. Using post-Bretton-Woods data from the United States, the United Kingdom, Japan, and Canada, it reports two main findings: First, monetary shocks that increase the U.S. nominal interest rate and inflation in the long run depreciate the dollar in nominal and real terms in the short run. Second, permanent increases in the U.S. interest rate cause short-run deviations from uncovered interest-rate parity against U.S. assets. The signs of these effects are opposite to those reported in the related literature for transitory monetary policy shocks. The estimated responses to transitory and permanent monetary shocks are shown to be qualitatively consistent with the predictions of a new Keynesian model of the open economy with portfolio adjustment costs. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w25380 |
| 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/583054 |
| 推荐引用方式 GB/T 7714 | Stephanie Schmitt-Grohé,Martín Uribe. Exchange Rates and Uncovered Interest Di\ufb00erentials: The Role of Permanent Monetary Shocks. 2018. |
| 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 | ||
| w25380.pdf（871KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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