Monetary Policy Responses to the Exchange Rate: Empirical Evidence from the ECB
Monetary Policy Responses to the Exchange Rate: Empirical Evidence from the ECB
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货币政策对汇率的反应：来自欧洲央行的经验证据
DOI：
10.2139/ssrn.2007344
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Ishak Demir
中科院分区：
文献类型：
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作者：
Ishak Demir
汇率是货币政策传导机制的重要组成部分，因为汇率的变动对宏观经济有重大影响。货币政策对汇率变动的反应可能难以衡量，因为货币政策同时对汇率作出反应，而且这两个变量可能对其他几个变量作出反应。本研究通过使用基于高频数据中的异方差的识别方法来解决这些问题。本文的结果表明，欧洲中央银行系统地响应汇率变动，但数量的影响很小。如此显著但很小的反应系数似乎符合这样一种假设，即中央银行不以汇率波动为目标，而只考虑它们对预期通货膨胀和产出路径的影响。
The exchange rate is an important part of the transmission mechanism in the determination of monetary policy because movements in the exchange rate have significant effect on the macroeconomy. It can be difficult to measure the reaction of monetary policy to the movements of the exchange rate, due to the simultaneous response of monetary policy to the exchange rate and the possibility that both variables respond to several other variables. This study addresses these problems by using an identification method based on the heteroscedasticity in the high-frequency data. The results in this paper suggest that the ECB systematically responds to exchange rate movements but that quantitative effects are small. Such a significant but small reaction coefficient seems consistent with the hypothesis that the central banks do not target the fluctuations in the exchange rate but consider them only to the extent they impact on the expected inflation and output path.