| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25397 |
| 来源ID | Working Paper 25397 |
| Liquidity and Exchange Rates: An Empirical Investigation | |
| Charles Engel; Steve Pak Yeung Wu | |
| 发表日期 | 2018-12-24 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We find strong empirical evidence that economic fundamentals can well account for nominal exchange rate movements. The important innovation is that we include the liquidity yield on government bonds as an explanatory variable. We find impressive evidence that changes in the liquidity yield are significant in explaining exchange rate changes for all of the G10 countries. Moreover, after controlling for liquidity yields, traditional determinants of exchange rates – adjustment toward purchasing power parity and monetary shocks – are also found to be economically and statistically significant. We show how these relationships arise out of a canonical two-country New Keynesian model with liquidity returns. Additionally, we find a role for sovereign default risk and currency swap market frictions. |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w25397 |
| 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/583071 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Steve Pak Yeung Wu. Liquidity and Exchange Rates: An Empirical Investigation. 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 | ||
| w25397.pdf（1179KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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