на главную поиск contacts

Real Exchange Rate Persistence and Monetary Policy Rules

Опубликовано на портале: 16-11-2007
Journal of Monetary Economics. 2004.  Vol. 51. No. 3. P. 473-502. 
The objective of this paper is to analyze the effects of alternative monetary rules on real exchange rate persistence. Using a two-country stochastic dynamic general equilibrium with nominal price stickiness and local currency pricing, we will show how the persistence of purchasing power parity deviations can be related to a monetary theory of these deviations. When monetary policy lean against the wind, there is no relationship of proportionality between the time during which prices remain sticky and the persistence of the response of the real exchange rate: in this case high nominal price rigidity is not sufficient, per se, in generating any persistence following a monetary shock. Moreover, we emphasize the role of interest rates smoothing policies and relative price stickiness within countries in understanding the relationship between the real exchange rate and monetary shocks. With reasonable parameters values, a wide range of monetary policy rules can generate real exchange rate autocorrelations around the ones observed in the data.

Аннотация статьи представлена на сайте ScienceDirect. Полный текст статьи находится в закрытом доступе

Полный текст статьи размещен на сайте University of Wisconsin-Madison
Ключевые слова

См. также:
Tommy Sveen, Lutz Weinke
Journal of Economic Theory. 2007.  Vol. 136. No. 1. P. 729-737. 
David Colander
Bruce Preston
Journal of Monetary Economics. 2006.  Vol. 53. No. 3. P. 507-535. 
Giuseppe Ferrero
Journal of Economic Dynamics and Control. 2007.  Vol. 31. No. 9. P. 3006-3041. 
Pierre-Richard Agenor, Peter J. Montiel
Luca Ricci
Economics Discussion Papers. 2007.  No. 2007-45.
Terry J. Fitzgerald
Federal Reserve Bank of Cleveland. 1999.