Delayed Overshooting: The Case for Information Rigidities

• 成果类型: Article
• 署名作者: Mueller, Gernot J.; Wolf, Martin; Hettig, Homas
• 署名单位: Eberhard Karls University of Tubingen; Leibniz Association; Ifo Institut; University of St Gallen; Centre for Economic Policy Research - UK
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210212
• 发表日期: 2024
• 页码: 310-342
• 关键词: monetary-policy surprises; exchange-rates; natural rate; RISK; shocks; identification; expectations; consumption; liquidity; FRAMEWORK

摘要

We provide evidence that the delayed overshooting puzzle reflects a slow adjustment of exchange rate expectations to monetary policy shocks rather than a failure of uncovered interest parity. Consistent with this evidence, we put forward a New Keynesian model in which uncovered interest parity holds, but there are information rigidities: investors do not observe monetary policy shocks but learn rationally from unanticipated shifts in monetary policy about the state of the economy. We estimate the model and find it can account for the joint responses of the spot exchange rate, forward exchange rates, and excess currency returns to monetary policy shocks.(JEL D83, E12, E31, E43, E52, F31)