Rational expectations, changing monetary policy rules, and real exchange rate dynamics

Shiu Sheng Chen, Yu Hsi Chou*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

2 引文 斯高帕斯(Scopus)

摘要

This paper reexamines the explanatory power of Taylor rule fundamentals for real exchange rate determination. We assume the agents know the time-varying parameters in central bank policy rules. The empirical results suggest that a monetary policy rule with regime switching is better able to explain the real Deutschemark/dollar exchange rate from 1976 to 1998 compared with a fixed-regime monetary policy rule. The findings show the importance of accounting for the expectation formation effect in changing policy rules as emphasized by the Lucas critique. Ignoring these effects can undermine the value of the rational expectations models.

原文英語
頁(從 - 到)2824-2836
頁數13
期刊Journal of Banking and Finance
36
發行號10
DOIs
出版狀態已發佈 - 2012 十月

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

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