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Paper #1600

Títol:
Uncovered interest parity, forward guidance and the exchange rate
Autor:
Jordi Galí
Data:
Maig 2017
Resum:
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.
Paraules clau:
forward guidance puzzle, uncovered interest rate parity, unconventional monetary policies, open economy New Keynesian model.
Codis JEL:
E43, E58, F41,
Àrea de Recerca:
Macroeconomia i Economia Internacional
Publicat a:
Journal of Money, Credit and Banking 52(S2), 465-496.

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