McCallum rules, exchange rates, and the term structure of interest rates

by Antonio Diez de los Rios

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to previous estimates of this rule, the monetary authorities in Canada, Germany and the U.K. respond to nominal exchange rate movements. Our model is also able to replicate the forward premium puzzle. -- Exchange rates ; Interest rates ; Transmission of monetary policy

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Year of publication:	2008
Other Persons:	Díez de los Ríos, Antonio (contributor)
Publisher:	Ottawa : Bank of Canada
Subject:	Wechselkurspolitik \| Exchange rate policy \| Währungsderivat \| Currency derivative \| Geldpolitik \| Monetary policy \| Geldmengensteuerung \| Monetary targeting \| Zinsstruktur \| Yield curve \| USA \| United States \| Kanada \| Canada \| Deutschland \| Germany \| Großbritannien \| United Kingdom \| 1979-2005

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Extent:	Online-Ressource (III, 32, [13] S.) graph. Darst.
Series:	Staff working paper / Bank of Canada. - Ottawa : [Verlag nicht ermittelbar], ISSN 1701-9397, ZDB-ID 2278568-1. - Vol. 2008-43
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zsfassung in franz. Sprache Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/53911 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; F31 - Foreign Exchange ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003775749