Monetary Policy and the Predictability of Nominal Exchange Rates
成果类型：
Article
署名作者：
Eichenbaum, M. S.; Johannsen, B. K.; Rebelo, S. T.
署名单位：
Northwestern University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Northwestern University
刊物名称：
REVIEW OF ECONOMIC STUDIES
ISSN/ISSBN：
0034-6527
DOI：
10.1093/restud/rdaa024
发表日期：
2021
页码：
192-228
关键词：
摘要：
This article studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts future changes in the nominal exchange rate. Second, the real exchange rate is a poor predictor of future inflation rates. We estimate a medium-size, open-economy DSGE model that accounts quantitatively for these facts as well as other empirical properties of real and nominal exchange rates. The key estimated shocks that drive the dynamics of exchange rates and their covariance with inflation are disturbances to the foreign demand for dollar-denominated bonds.