Liquidity premia and interest rate parity

• 成果类型: Article
• 署名作者: Linnemann, Ludger; Schabert, Andreas
• 署名单位: Dortmund University of Technology; University of Cologne
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.03.006
• 发表日期: 2015
• 页码: 178-192
• 关键词: Exchange rate dynamics; Uncovered interest rate parity; monetary policy shocks; Liquidity premia

摘要

Due to the US dollar's dominant role for international trade and finance, risk-free assets denominated in US currency not only offer a pecuniary return, but also provide transaction services, both nationally and internationally. Accordingly, the responses of bilateral US dollar exchange rates to interest rate shocks should differ substantially with respect to the (US or foreign) origin of the shock We demonstrate this empirically and apply a model of liquidity premia on US treasuries originating from monetary policy implementation. The liquidity premium leads to a modification of uncovered interest rate parity (UIP), which enables the model to explain an appreciation of the dollar subsequent to an increase in US interest rates if foreign interest rates follow the US monetary policy rate. (C) 2015 Elsevier B.V. All rights reserved.