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Risk, Monetary Policy, and the Exchange Rate

Benigno, Gianluca ; Benigno, Pierpaolo ; Nisticò, Salvatore

NBER macroeconomics annual, 2012-01, Vol.26 (1), p.247-309 [Periódico revisado por pares]

Cambridge: University of Chicago Press

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Título:
Risk, Monetary Policy, and the Exchange Rate
Autor: Benigno, Gianluca ; Benigno, Pierpaolo ; Nisticò, Salvatore
Assuntos: Approximation ; Currency ; Economic theory ; Exchange rates ; Foreign exchange rate risk ; Foreign exchange rates ; Inflation rates ; Inflation shocks ; Monetary policy ; Nominal exchange rates ; Nominal interest rates ; Productivity ; Real exchange rates ; Regression analysis ; Stochastic models ; Volatility
É parte de: NBER macroeconomics annual, 2012-01, Vol.26 (1), p.247-309
Descrição: One of the main features of the recent financial crisis has been the increase in financial and macroeconomic volatility. Currency markets have not been an exception: foreign exchange rate volatility has surged and large swings in the dollar exchange rate have occurred. This research contributes to the literature from an empirical and a theoretical perspective. In the empirical analysis they provide new evidence that justifies their focus on risk factors: the novelty of their contribution is to examine the role of nominal and real stochastic volatilities for the behavior of exchange rates in an otherwise standard open-economy VAR (Vector AutoRegression). They find that volatility shocks do matter for the equilibrium level of interest and exchange rates and that the exchange rate tends to appreciate in response to an increase in nominal volatility (both of the discretionary shock to monetary policy and of the infl ation target) and to depreciate following an increase in real volatility (of the productivity shock).
Editor: Cambridge: University of Chicago Press
Idioma: Inglês

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Risk, Monetary Policy, and the Exchange Rate

Benigno, Gianluca ; Benigno, Pierpaolo ; Nisticò, Salvatore

Cambridge: University of Chicago Press

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