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作者：Smets, F; Wouters, R
作者单位：European Central Bank; European Central Bank; National Bank of Belgium
摘要：This paper analyses the implications of imperfect exchange rate pass-through for optimal monetary policy in a linearised open-economy dynamic general equilibrium model calibrated to euro area data. Imperfect exchange rate pass through is modelled by assuming sticky import price behaviour. The degree of domestic and import price stickiness is estimated by reproducing the empirical identified impulse response of a monetary policy and exchange rate shock conditional on the response of output, net...
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作者：Clarida, R; Galí, J; Gertler, M
作者单位：New York University; Columbia University; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
摘要：We study the international monetary policy design problem within an optimizing two-country sticky price model, where each country faces a short run tradeoff between output and inflation. The model is sufficiently tractable to solve analytically, We find that in the Nash equilibrium, the policy problem for each central bank is isomorphic to the one it would face if it were a closed economy. Gains from cooperation arise, however, that stem from the impact of foreign economic activity on the dome...
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作者：Lane, PR
作者单位：Trinity College Dublin; Centre for Economic Policy Research - UK
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作者：Henderson, DW
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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作者：Cavallo, M; Ghironi, F
作者单位：Boston College; New York University
摘要：We revisit Obstfeld and Rogoff's (1995) results on exchange rate dynamics in a two-country, monetary model with incomplete asset markets, stationary net foreign assets, and endogenous monetary policy. The nominal exchange rate exhibits a unit root. Under flexible prices, it also depends on the stock of real net foreign assets. With sticky prices, the exchange rate depends on the past GDP differential, along with net foreign assets. Endogenous monetary policy and asset dynamics have consequence...
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作者：Devereux, MB; Engel, C
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of British Columbia; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass-through from changes in exchange rates to consumer prices. Exchange rates may be highly volatile because in a sense they have little effect on macroeconomic variables. The paper shows the ingredients necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing, we need ...
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作者：Hodrick, RJ
作者单位：Columbia University; National Bureau of Economic Research
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作者：Evans, MDD; Lyons, RK
作者单位：University of California System; University of California Berkeley; Georgetown University; National Bureau of Economic Research
摘要：This paper addresses whether currency trades have greater price impact when public information is flowing rapidly. We develop an optimizing model to account for why public news should increase the price impact of trades. Using transaction data made available by electronic trading, we test whether trades following macroeconomic news have higher price impact. They do: price impact per dollar traded is about 10 percent higher per news announcement in the previous hour. After controlling for publi...
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作者：Levin, AT
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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作者：Duarte, M; Stockman, AC
作者单位：University of Rochester; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Richmond
