Monetary policy and inferential expectations of exchange rates
Download (1.93 MB)
-
Altmetric Citations
Menzies, Gordon; Zizzo, Daniel
Description
We present a macroeconomic market experiment to isolate the impact of monetary shocks on the exchange rate, as an alternative to SVAR identification. In a non-stochastic treatment, covered interest rate parity holds and predicted exchange rates are tracked well. In a stochastic treatment, we model expectations using a Neyman-Pearson hypothesis test (inferential expectations) and find evidence of belief conservatism and uncovered interest rate parity failure. The market environment magnifies...[Show more]
Collections | ANU Research Publications |
---|---|
Date published: | 2012 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/66188 |
Source: | Journal of International Financial Markets, Institutions and Money |
DOI: | 10.1016/j.intfin.2011.11.001 |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Menzies_Monetary_policy_and_2012.pdf | 1.93 MB | Adobe PDF |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator