Responses of Term Structure of Forward Rates to Interest Rate Adjustment

被引：0

作者：

Feng, Yun ^{[1
]}

Li, Xiaoping ^{[1
]}

Wu, Chongfeng ^{[1
]}

机构：

[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China

来源：

ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING | 2008年 / 5卷

关键词：

monetary policy; domestic-foreign interest rate differentials; term structure of forward exchange rate;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the variations in the term structure of the forward exchange rate caused by the interest rate adjustment. Based on the yields-macro model developed in Diebold, Rudebusch and Aruoba (2006), we present the model of term structure of forward exchange rate including macroeconomic variables by Covered Interest Parity (CIP). This model shows that the official interest rate adjustment affects the term structure of forward exchange rates. Furthermore, we analyze how the term structure of forward exchange rates reacts to different monetary policy. We derive the existence conditions of the intersection when the term structure of forward exchange rates move.

引用

页码：82 / 91

页数：10

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