Uncovered interest parity, forward guidance and the exchange rate

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• dc.contributor.author Galí, Jordi
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2024-11-14T10:09:38Z
• dc.date.available 2024-11-14T10:09:38Z
• dc.date.issued 2017-05-02
• dc.date.modified 2024-11-14T10:05:54Z
• dc.description.abstract Under uncovered interest parity (UIP), the size of the e¤ect on the real exchange rate of an anticipated change in real interest rate di¤erentials is invariant to the horizon at which the change is expected. Empirical evidence using US, euro area and UK data points to a substantial deviation from that invariance prediction: expectations of interest rate di¤erentials in the near (distant) future are shown to have much larger (smaller) e¤ects on the real exchange rate than is implied by UIP. Some possible explanations are discussed.
• dc.format.mimetype application/pdf*
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1600
• dc.identifier.citation Journal of Money, Credit and Banking 52(S2), 465-496.
• dc.identifier.uri http://hdl.handle.net/10230/44699
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 1600
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword forward guidance puzzle
• dc.subject.keyword uncovered interest rate parity
• dc.subject.keyword unconventional monetary policies
• dc.subject.keyword open economy new keynesian model.
• dc.subject.keyword Macroeconomics and International Economics
• dc.title Uncovered interest parity, forward guidance and the exchange rate
• dc.title.alternative
• dc.type info:eu-repo/semantics/workingPaper