Real exchange rate persistence and monetary policy rules

• 成果类型: Article
• 署名作者: Benigno, G
• 署名单位: University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.06.001
• 发表日期: 2004
• 页码: 473-502
• 关键词: PPP Puzzle; Monetary policy rules; Exchange rate regimes; persistence

摘要

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. (C) 2004 Elsevier B.V. All rights reserved.