-
作者：LUCAS, RE
-
作者：GIOVANNINI, A
摘要：This paper explores empirically the fluctuations of money demand arising from financial markets. Fluctuations in financial markets' liquidity are reflected in interest rates and asset returns. The paper uses daily data on the Swiss franc and other currencies from January 1, 1980 until December 31, 1987, and is based on a priori knowledge on the timing of liquidity shocks. In the empirical analysis I ask whether at the time liquidity shocks occur 'abnormal' rates of return can be observed in th...
-
作者：MCCALLUM, BT
作者单位：National Bureau of Economic Research
摘要：This paper argues that the uncovered interest parity (UIP) relationship is distinct from, and more important than, the unbiasedness of forward exchange rates as predictors of future spot rates. The standard finding that the slope estimate beta is roughly - 3 in regressions of DELTAs(t) on f(t-1) - s(t-1) implies rejection of unbiasedness but not necessarily UIP. The hypothesis that monetary authorities manage interest rates so as to smooth their movements, while also resisting changes in excha...
-
作者：PLOSSER, CI; ROUWENHORST, KG
-
作者：HOOVER, KD; PEREZ, SJ
摘要：Christina and David Romers' reply to our article 'Post Hoc Ergo Propter Hoc Once More' misses the point. Our argument was never that monetary policy did not matter, but that their methods could not provide useful evidence that it did. Yet, they offer additional evidence of the same type with respect to the efficacy of monetary shocks without effectively replying to the criticisms of their methods. We show point by point that such responses as they give leave our original conclusion intact: the...
-
作者：PLOSSER, CI; ROUWENHORST, KG
作者单位：Yale University; University of Rochester
摘要：This paper extends previous work on the information in the term structure about future real economic growth. For the U.S. and Germany, and to a lesser extent for the U.K., we find evidence that the long end of the term structure has information about future growth of industrial production beyond expectations about future monetary policy. We also find evidence that foreign term structures can forecast domestic low frequency movements in economic activity especially in countries that experience ...
-
作者：ROMER, CD; ROMER, DH
摘要：This paper addresses Hoover and Perez's comments on our 1989 paper. We first show that the estimated impact of monetary policy shifts remains large and ranges from marginally to strongly significant when oil shocks are controlled for. We then extend our previous work by expanding the sample period and identifying an additional policy shift in December 1988. With this extension, the estimated effects of monetary policy shifts are large and highly significant for all reasonable specifications of...
-
作者：BAXTER, M
摘要：This paper investigates the link between real exchange rates and real interest differentials over the recent floating-rate period. In contrast to earlier econometric studies, we find evidence of a relationship, with the strongest link at trend and business-cycle frequencies, Because these prior studies focused on high-frequency components of the data, they found no statistical link between real exchange rates and real interest differentials.
