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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Working Paper ; No. 2008-43
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Subject
-
Exchange rates
Interest rates
Transmission of monetary policy
Wechselkurspolitik
Devisentermingeschäft
Geldpolitik
Geldmengensteuerung
Zinsstruktur
USA
Kanada
Deutschland
Großbritannien
- Event
-
Geistige Schöpfung
- (who)
-
Diez de los Rios, Antonio
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2008
- DOI
-
doi:10.34989/swp-2008-43
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Diez de los Rios, Antonio
- Bank of Canada
Time of origin
- 2008
Other Objects (12)
Consumer interest rates and retail mutual fund flows
Estimating the policy rule from money market rates when target rate changes are lumpy
The neutral rate of interest in Canada
World real interest rates: A global savings and investment perspective
Monetary policy, trends in real interest rates and depressed demand
Risk premium shocks and the zero bound on nominal interest rates
Combining Canadian interest-rate forecasts
The international experience with negative policy rates
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Interest rate uncertainty as a policy tool
Do low interest rates sow the seeds of financial crises?
Money market rates and retail interest regulation in China: The disconnect between interbank and retail credit conditions
Consumer interest rates and retail mutual fund flows
Estimating the policy rule from money market rates when target rate changes are lumpy
The neutral rate of interest in Canada
World real interest rates: A global savings and investment perspective
Monetary policy, trends in real interest rates and depressed demand
Risk premium shocks and the zero bound on nominal interest rates
Combining Canadian interest-rate forecasts
The international experience with negative policy rates
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Interest rate uncertainty as a policy tool
Do low interest rates sow the seeds of financial crises?
Money market rates and retail interest regulation in China: The disconnect between interbank and retail credit conditions
Consumer interest rates and retail mutual fund flows
Estimating the policy rule from money market rates when target rate changes are lumpy
The neutral rate of interest in Canada
World real interest rates: A global savings and investment perspective
Monetary policy, trends in real interest rates and depressed demand
Risk premium shocks and the zero bound on nominal interest rates
Combining Canadian interest-rate forecasts
The international experience with negative policy rates
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Interest rate uncertainty as a policy tool
Do low interest rates sow the seeds of financial crises?