A note on interest rate defense policy and exchange rate volatility

被引：6
|
作者：
Chen, Shiu-Sheng [1 ]
机构：
[1] Natl Taiwan Univ, Dept Econ, Taipei 10764, Taiwan
来源：
ECONOMIC MODELLING | 2007年 / 24卷 / 05期
关键词：
exchange rates; interest rates; noise traders;
D O I：
10.1016/j.econmod.2007.02.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, the effectiveness of an interest rate defense policy is investigated theoretically. Chen [Chen, Shiu-Sheng, 2006. Revisiting the interest rate-exchange rate nexus: a Markov switching approach. Journal of Development Economics 79 (1), 208-224] has documented an empirical regularity that higher interest rates are associated with higher exchange rate volatility. In order to account for the empirical findings, a simple theoretical model by incorporating interest rate rules in a noise trader model is proposed. (C) 2007 Elsevier B.V. All rights reserved.
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页码：768 / 777
页数：10
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