Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound
Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound
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DOI：
10.1007/s11079-017-9474-8
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发表时间：
2018-02-01
影响因子：
1.2
通讯作者：
Zhang, Yi
中科院分区：
文献类型：
--
作者：
Chinn, Menzie D.;Zhang, Yi
基于一个标准的新凯恩斯主义的动态随机一般均衡模型，我们对国际金融文献中的两个实证结果提出了解释。首先，无偏见假说--即汇率贬值与利差匹配的主张--在短期内比长期内更遭到强烈反对。其次，即使在长期内，当一种货币经历了长期的低利率时，无偏见假说往往也会遭到拒绝，比如日本和瑞士。利用新凯恩斯主义的动态随机一般均衡模型，我们展示了货币政策规则如何在短期(长期)引起贬值和利差之间的负(正)相关性。我们将日本和瑞士拒绝不偏不倚的倾向归因于货币反应函数和零下限的相互作用。
Relying upon a standard New Keynesian DSGE, we propose an explanation for two empirical findings in the international finance literature. First, the unbiasedness hypothesis - the proposition that expost exchange rate depreciation matches interest differentials - is rejected much more strongly at short horizons than at long. Second, even at long horizons, the unbiasedness hypothesis tends to be rejected when one of the currencies has experienced a long period of low interest rates, such as in Japan and Switzerland. Using a calibrated New Keynesian dynamic stochastic general equilibrium model, we show how a monetary policy rule can induce the negative (positive) correlation between depreciation and interest differentials at short (long) horizons. The tendency to reject unbiasedness for Japan and Switzerland even at long horizons we attribute to the interaction of the monetary reaction function and the zero lower bound.