The Exchange Rate Response to Monetary Policy Innovations

• 成果类型: Article
• 署名作者: Hnatkovska, Viktoria; Lahiri, Amartya; Vegh, Carlos A.
• 署名单位: University of British Columbia; Johns Hopkins University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140362
• 发表日期: 2016
• 页码: 137-181
• 关键词: Emerging economies; nominal rigidities; business cycles; panel data; rules; countries; puzzle; IMPACT; MODEL

摘要

We present a new data fact: in response to a monetary tightening, the domestic currency tends to appreciate in developed countries but depreciate in developing countries. A model is developed to rationalize this contrasting pattern. It has three key channels of monetary transmission: a liquidity demand channel, a fiscal channel, and an output channel. The paper shows that a calibrated version of the model can explain the contrast between developed and developing countries. Using counterfactual experiments and empirical evidence, we identify differences in the liquidity demand effect as critical in explaining the contrasting responses generated by the model.