Arbeitspapier
McCallum rules, exchange rates, and the term structure of interest rates
McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to previous estimates of this rule, the monetary authorities in Canada, Germany and the U.K. respond to nominal exchange rate movements. Our model is also able to replicate the forward premium puzzle.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2008-43
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
Exchange rates
Interest rates
Transmission of monetary policy
Wechselkurspolitik
Devisentermingeschäft
Geldpolitik
Geldmengensteuerung
Zinsstruktur
USA
Kanada
Deutschland
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Diez de los Rios, Antonio
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2008
- DOI
-
doi:10.34989/swp-2008-43
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Diez de los Rios, Antonio
- Bank of Canada
Entstanden
- 2008
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