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Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
Mark, Nelson C. - 2021
When central banks set nominal interest rates according to an interest rate reaction function, such as the Taylor rule, and the exchange rate is priced by uncovered interest parity, the real exchange rate is determined by expected inflation differentials and output gap differentials. In this...
Persistent link: https://www.econbiz.de/10013237961
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International Channels of Transmission of Monetary Policy and the Mundellian Trilemma
Rey, Hélène - 2016
autonomy in a world of large capital flows …
Persistent link: https://www.econbiz.de/10013001776
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Tests of Three Parity Conditions : Distinguishing Risk Premia and Systematic Forecast Errors
Marston, Richard C. - 2021
Two explanations are given for why nominal or real returns differ across currencies: foreign exchange risk premia and systematic (rational) forecast errors. This study reexamines three parity conditions in international finance, uncovered interest parity, purchasing power parity, and real...
Persistent link: https://www.econbiz.de/10013223577
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Monetary Policy and the Predictability of Nominal Exchange Rates
Eichenbaum, Martin - 2017
This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts...
Persistent link: https://www.econbiz.de/10012963169
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Uncovered Interest Parity, Forward Guidance, and the Exchange Rate
Galí, Jordi - 2022
Under uncovered interest parity (UIP), the size of the effect on the real exchange rate of an anticipated change in real interest rate differentials is invariant to the horizon at which the change is expected. Empirical evidence using US, euro area and UK data points to a substantial deviation...
Persistent link: https://www.econbiz.de/10013324699
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Are Real Interest Rates Equal Across Countries? an Empirical Investigation of International Parity Conditions
Mishkin, Frederic S. - 2021
monetary authorities have no control over their real rate relative to the world rate, limiting the impact of their … economy models which allow: 1) domestic real rates to differ from world rates, 2) time varying risk premiums in the forward … policy makers to exertsome control over their domestic real rate relative to those in the rest of the world. However, the …
Persistent link: https://www.econbiz.de/10013228033
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Country Size, Currency Unions, and International Asset Returns
Hassan, Tarek A. - 2012
larger fraction of the world economy. I show that differences in the size of economies indeed explain a large fraction of the …
Persistent link: https://www.econbiz.de/10013106653
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Covered Interest Parity Deviations : Macrofinancial Determinants
Cerutti, Eugenio - 2019
This paper studies how several macrofinancial factors are associated over time with the evolution of covered interest parity (CIP) deviations in the decade after the Global Financial Crisis. Changes in a number of risk- and policy-related factors have a significant association with the evolution...
Persistent link: https://www.econbiz.de/10012865278
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The Global Capital Market : Benefactor or Menace?
Obstfeld, Maurice - 2021
inescapable in the real world of asymmetric information and imperfect contract enforcement. I argue, however, that in confronting …
Persistent link: https://www.econbiz.de/10013224934
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Financial Repression and Capital Mobility : Why Capital Flows and Covered Interest Rate Differentials Fail to Measure Capital Market Integration
Dooley, Michael P.; Chinn, Menzie David - 2021
Required reserves on banks' deposit liabilities have been utilized by both industrial and developing countries to discourage and sterilize international capital flows. In this paper we utilize an open economy macro model incorporating bank credit to evaluate this policy. The model suggests that...
Persistent link: https://www.econbiz.de/10013247649