کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
965420 | 1479211 | 2006 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A simple test of the effect of interest rate defense
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
High interest rates to defend the exchange rate signal that a government is committed to fixed exchange rates, but may also signal weak fundamentals. We test the effectiveness of the interest rate defense by disaggregating into the effects on future interest rates differentials, expectations of future exchange rates, and risk premia. While much previous empirical work has been inconclusive due to offsetting effects, tests that “disaggregate” the effects provide significant information. Raising overnight interest rates strengthens the exchange rate over the short-term, but also leads to an expected depreciation at a horizon of a year and longer and an increase in the risk premium, consistent with the argument that it also signals weak fundamentals. J. Japanese Int. Economies20 (4) (2006) 612-636.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Japanese and International Economies - Volume 20, Issue 4, December 2006, Pages 612-636
Journal: Journal of the Japanese and International Economies - Volume 20, Issue 4, December 2006, Pages 612-636
نویسندگان
Allan Drazen, Stefan Hubrich,