| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27819 |
| 来源ID | Working Paper 27819 |
| Monetary Policy Surprises and Exchange Rate Behavior | |
| Refet S. Gürkaynak; A. Hakan Kara; Burçin Kısacıkoğlu; Sang Seok Lee | |
| 发表日期 | 2020-09-14 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using event-studies and ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational assumptions make a standard two-country New Keynesian model match this behavior. To identify the particular mechanism, we condition on multiple asset prices in the event-study and model implications for these. We find that there is heterogeneity in this dimension in the event-study and no model with a single regime can match the evidence. Further, even after conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates. Our results show that existing models have a long way to go in reconciling event-study analysis with model-based mechanisms of asset pricing. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w27819 |
| 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/585491 |
| 推荐引用方式 GB/T 7714 | Refet S. Gürkaynak,A. Hakan Kara,Burçin Kısacıkoğlu,et al. Monetary Policy Surprises and Exchange Rate Behavior. 2020. |
| 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 | ||
| w27819.pdf（1044KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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