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来源类型Working Paper
规范类型报告
DOI10.3386/w28108
来源IDWorking Paper 28108
Will the Secular Decline In Exchange Rate and Inflation Volatility Survive COVID-19?
Ethan Ilzetzki; Carmen M. Reinhart; Kenneth S. Rogoff
发表日期2020-11-23
出版年2020
语种英语
摘要Over the 21st century, and especially since 2014, global exchange rate volatility has been trending downwards, notably among the core G3 currencies (dollar, euro and the yen), and to some extent the G4 (including China). This stability continued through the Covid-19 recession to date: unusual, as exchange volatility generally rises in US recessions. Compared to measures of stock price volatility, exchange rate volatility rivals the lows reached in the heyday of Bretton Woods I. This paper argues that the core driver is convergence in monetary policy, reflected in a sharp-reduction of inflation and short- and especially long-term interest rate differentials. This unprecedented stability, which partially extends to emerging markets, is strongly reinforced by expectations that the zero bound will be significantly binding for advanced economies for years to come. We consider various hypotheses and suggest that the shutdown of monetary volatility is the leading explanation. The concluding part of the paper cautions that systemic economic crises often produce major turning points, so a collapse of the Extended Bretton Woods II regime cannot be ruled out.
主题Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics ; History ; Financial History ; COVID-19
URLhttps://www.nber.org/papers/w28108
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/585782
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Ethan Ilzetzki,Carmen M. Reinhart,Kenneth S. Rogoff. Will the Secular Decline In Exchange Rate and Inflation Volatility Survive COVID-19?. 2020.
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