| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w25021
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| 来源ID | Working Paper 25021
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| The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates |
| Atsushi Inoue; Barbara Rossi
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| 发表日期 | 2018-09-17
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| 出版年 | 2018
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| 语种 | 英语
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| 摘要 | What are the effects of monetary policy on exchange rates? And have unconventional monetary policies changed the way monetary policy is transmitted to international financial markets? According to conventional wisdom, expansionary monetary policy shocks in a country lead to that country's currency depreciation. We revisit the conventional wisdom during both conventional and unconventional monetary policy periods in the US by using a novel identification procedure that defines monetary policy shocks as changes in the whole yield curve due to unanticipated monetary policy moves and allows monetary policy shocks to differ depending on how they affect agents' expectations about the future path of interest rates as well as their perceived effects on the riskiness/uncertainty in the economy. Our empirical results show that: (i) a monetary policy easing leads to a depreciation of the country's spot nominal exchange rate in both conventional and unconventional periods; (ii) however, there is substantial heterogeneity in monetary policy shocks over time and their effects depend on the way they affect agents' expectations; (iii) we find favorable evidence to Dornbusch's (1976) overshooting hypothesis. |
| 主题 | Econometrics
; Estimation Methods
; International Economics
; International Finance
|
| URL | https://www.nber.org/papers/w25021
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582695
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推荐引用方式
GB/T 7714 |
Atsushi Inoue,Barbara Rossi. The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates. 2018.
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文件名：
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w25021.pdf
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格式：
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Adobe PDF
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