International transmission of transitory and persistent monetary shocks under imperfect information

• 成果类型: Article
• 署名作者: Andersen, TM; Beier, NC
• 署名单位: Aarhus University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2004.06.009
• 发表日期: 2005
• 页码: 485-507
• 关键词: Exchange rates; imperfect information; New open economy macroeconomics; nominal shocks; transitory and persistent shocks; persistence

摘要

We analyze the transmission of monetary shocks in a new open-economy macroeconomics model with one-period nominal contracts and imperfect information. Shocks may have transitory and persistent components that can be disentangled only through the accumulation of information over time. As a consequence, the responses to shocks are significantly altered compared with the case of full information. There are persistent effects on international relative prices, and delayed exchange-rate overshooting is possible following a persistent shock. In some cases, there are (ex post) excess returns as a positive interest rate spread is accompanied by an appreciating currency (or vice versa). Lastly, it is demonstrated that staggering reinforces persistence. (c) 2004 Elsevier B.V. All rights reserved.