Exchange Rates Monetary Policy Statements And Uncovered Interest Parity
Download and Read Exchange Rates Monetary Policy Statements And Uncovered Interest Parity full books in PDF, ePUB, and Kindle. Read online free Exchange Rates Monetary Policy Statements And Uncovered Interest Parity ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Author | : Michael T. Kiley |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Exchange Rates, Monetary Policy Statements, and Uncovered Interest Parity Book in PDF, Epub and Kindle
Author | : David Backus |
Publisher | : |
Total Pages | : 54 |
Release | : 2010 |
Genre | : Economics |
ISBN | : |
Download Monetary policy and the uncovered interest parity puzzle Book in PDF, Epub and Kindle
High interest rate currencies tend to appreciate. This is the uncovered interest rate parity (UIP) puzzle. It is primarily a statement about short-term interest rates and how they are related to exchange rates. Short-term interest rates are strongly affected by monetary policy. The UIP puzzle, therefore, can be restated in terms of monetary policy. Do foreign and domestic monetary policies imply exchange rates that violate UIP? We represent monetary policy as foreign and domestic Taylor rules. Foreign and domestic pricing kernels determine the relationship between these Taylor rules and exchange rates. We examine different specifications for the Taylor rule and ask which can resolve the UIP puzzle. We find evidence in favor of a particular asymmetry. If the foreign Taylor rule responds to exchange rate variation but the domestic Taylor rule does not, the model performs better. A calibrated version of our model is consistent with many empirical observations on real and nominal exchange rates, including Fama's negative correlation between interest rate differentials and currency depreciation rates.
Author | : David K. Backus |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Monetary Policy and the Ucovered Interest Parity Puzzle Book in PDF, Epub and Kindle
Author | : Evan Tanner |
Publisher | : International Monetary Fund |
Total Pages | : 30 |
Release | : 1998-08 |
Genre | : Business & Economics |
ISBN | : |
Download Deviations From Uncovered Interest Parity Book in PDF, Epub and Kindle
Ex-post deviations from uncovered interest parity (UIP) – realized differences between dollar returns on identical assets of different currencies – equal the real interest differential plus real exchange rate growth. Among industrialized countries, UIP deviations are largely explained by unanticipated real exchange rate growth, but among developing countries, real interest differentials are “where the action is.” This observation is due to the greater variability of inflation in developing countries, but may also stem from higher and more variable risks and capital controls in these countries. Also, among developing countries with moderate inflation, offsetting comovements of real interest differentials and real exchange growth support the sticky-price hypothesis.
Author | : Jacob Frenkel |
Publisher | : Routledge |
Total Pages | : 389 |
Release | : 2013-07-18 |
Genre | : Business & Economics |
ISBN | : 1135043493 |
Download The Monetary Approach to the Balance of Payments Book in PDF, Epub and Kindle
This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.
Author | : Stephanie Schmitt-Grohe |
Publisher | : |
Total Pages | : 38 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Exchange Rates and Uncovered Interest Differentials Book in PDF, Epub and Kindle
We estimate an empirical model of exchange rates with transitory and permanent monetary shocks. Using monthly post-Bretton-Woods data from the United States, the United Kingdom, and Japan, we report four main findings: First, there is no exchange rate overshooting in response to either temporary or permanent monetary shocks. Second, a transitory increase in the nominal interest rate causes appreciation, whereas a permanent increase in the interest rate causes short-run depreciation. Third, transitory increases in the interest rate cause short-run deviations from uncovered interest-rate parity in favor of domestic assets, whereas permanent increases cause deviations against domestic assets. Fourth, permanent monetary shocks explain the majority of short-run movements in nominal exchange rates.
Author | : Yossi Saadon |
Publisher | : |
Total Pages | : 29 |
Release | : 2018 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Nominal Exchange Rate Dynamics and Monetary Policy Book in PDF, Epub and Kindle
The increasing globalization of trade in goods and services and the deepening of financial markets have reduced frictions that may impede the operation of the PPP and UIP relationships in the short run. In this paper, we estimate the short term relative PPP and UIP relationships. Using data from Israel, which has a deep market for inflation expectations for 12 months, we show that relative PPP and UIP cannot be rejected. Deviations from equilibrium last less than a year. Data from Israel's capital account of the balance of payments shows that the deviations are not destabilizing. Our findings suggest that greater globalization and financial deepening contribute to the effectiveness of monetary policy.
Author | : Young-Kyu Moh |
Publisher | : |
Total Pages | : 117 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Exchange Rate Dynamics in a Continuous-time Model of Uncovered Interest Parity with Central Bank Intervention Book in PDF, Epub and Kindle
Author | : Charles Engel |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : Economics |
ISBN | : |
Download Exchange Rates and Interest Parity Book in PDF, Epub and Kindle
This paper surveys recent theoretical and empirical contributions on foreign exchange rate determination. The paper first considers monetary models under uncovered interest parity and rational expectations. Then the paper considers deviations from UIP/rational expectations: foreign exchange risk premium, private information, near-rational expectations, and peso problems.
Author | : Adrian W. Throop |
Publisher | : |
Total Pages | : 36 |
Release | : 1992 |
Genre | : Foreign exchange rates |
ISBN | : |
Download A Generalized Uncovered Interest Parity Model of Real Exchange Rates Book in PDF, Epub and Kindle