skip to content
Changing monetary policy rules, learning, and real exchange rate dynamics Preview this item
ClosePreview this item
Checking...

Changing monetary policy rules, learning, and real exchange rate dynamics

Author: Nelson C Mark; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2005.
Series: Working paper series (National Bureau of Economic Research), working paper no. 11061.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"When central banks set nominal interest rates according to an interest rate reaction function, such as the Taylor rule, and the exchange rate is priced by uncovered interest parity, the real exchange rate is determined by expected inflation differentials and output gap differentials. In this paper I examine the implications of these Taylor-rule fundamentals for real exchange rate determination in an environment  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Nelson C Mark; National Bureau of Economic Research.
OCLC Number: 57665140
Notes: "January 2005."
Description: 26 pages : illustrations ; 22 cm.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 11061.
Responsibility: Nelson C. Mark.

Abstract:

"When central banks set nominal interest rates according to an interest rate reaction function, such as the Taylor rule, and the exchange rate is priced by uncovered interest parity, the real exchange rate is determined by expected inflation differentials and output gap differentials. In this paper I examine the implications of these Taylor-rule fundamentals for real exchange rate determination in an environment where market participants are ignorant of the numerical values of the model's coefficients but attempt to acquire that information using least-squares learning rules. I find evidence that this simple learning environment provides a plausible framework for understanding real dollar--DM exchange rate dynamics from 1976 to 2003. The least-squares learning path for the real exchange rate implied by inflation and output gap data exhibits the real depreciation of the 70s, the great appreciation (1979.4-1985.1) and the subsequent great depreciation (1985.2-1991.1) observed in the data. An emphasis on Taylor-rule fundamentals may provide a resolution to the exchange rate disconnect puzzle"--National Bureau of Economic Research web site.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/57665140> # Changing monetary policy rules, learning, and real exchange rate dynamics
    a schema:CreativeWork, schema:Book ;
    library:oclcnum "57665140" ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/18757193#Place/cambridge_mass> ; # Cambridge, Mass.
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
    schema:about <http://id.worldcat.org/fast/931774> ; # Foreign exchange--Econometric models
    schema:about <http://experiment.worldcat.org/entity/work/data/18757193#Topic/okonometrisches_modell> ; # Ökonometrisches Modell
    schema:about <http://id.loc.gov/authorities/subjects/sh2009125395> ; # Foreign exchange--Econometric models
    schema:bookFormat bgn:PrintBook ;
    schema:contributor <http://viaf.org/viaf/135446122> ; # National Bureau of Economic Research.
    schema:copyrightYear "2005" ;
    schema:creator <http://viaf.org/viaf/62608826> ; # Nelson Chung Mark
    schema:datePublished "2005" ;
    schema:description ""When central banks set nominal interest rates according to an interest rate reaction function, such as the Taylor rule, and the exchange rate is priced by uncovered interest parity, the real exchange rate is determined by expected inflation differentials and output gap differentials. In this paper I examine the implications of these Taylor-rule fundamentals for real exchange rate determination in an environment where market participants are ignorant of the numerical values of the model's coefficients but attempt to acquire that information using least-squares learning rules. I find evidence that this simple learning environment provides a plausible framework for understanding real dollar--DM exchange rate dynamics from 1976 to 2003. The least-squares learning path for the real exchange rate implied by inflation and output gap data exhibits the real depreciation of the 70s, the great appreciation (1979.4-1985.1) and the subsequent great depreciation (1985.2-1991.1) observed in the data. An emphasis on Taylor-rule fundamentals may provide a resolution to the exchange rate disconnect puzzle"--National Bureau of Economic Research web site."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/18757193> ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/18757193#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/18757193#Series/nber_working_paper_series> ; # NBER working paper series ;
    schema:name "Changing monetary policy rules, learning, and real exchange rate dynamics"@en ;
    schema:productID "57665140" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/57665140#PublicationEvent/cambridge_mass_national_bureau_of_economic_research_2005> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/18757193#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
    schema:url <http://papers.nber.org/papers/w11061> ;
    schema:url <http://papers.nber.org/papers/w11061.pdf> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/57665140> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/18757193#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
    schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/18757193#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
    schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/18757193#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/57665140> ; # Changing monetary policy rules, learning, and real exchange rate dynamics
    schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/18757193#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/57665140> ; # Changing monetary policy rules, learning, and real exchange rate dynamics
    schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/18757193#Topic/okonometrisches_modell> # Ökonometrisches Modell
    a schema:Intangible ;
    schema:name "Ökonometrisches Modell"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2009125395> # Foreign exchange--Econometric models
    a schema:Intangible ;
    schema:name "Foreign exchange--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/931774> # Foreign exchange--Econometric models
    a schema:Intangible ;
    schema:name "Foreign exchange--Econometric models"@en ;
    .

<http://viaf.org/viaf/135446122> # National Bureau of Economic Research.
    a schema:Organization ;
    schema:name "National Bureau of Economic Research." ;
    .

<http://viaf.org/viaf/62608826> # Nelson Chung Mark
    a schema:Person ;
    schema:birthDate "1955" ;
    schema:familyName "Mark" ;
    schema:givenName "Nelson Chung" ;
    schema:givenName "Nelson C." ;
    schema:name "Nelson Chung Mark" ;
    .

<http://www.worldcat.org/title/-/oclc/57665140>
    a genont:InformationResource, genont:ContentTypeGenericResource ;
    schema:about <http://www.worldcat.org/oclc/57665140> ; # Changing monetary policy rules, learning, and real exchange rate dynamics
    schema:dateModified "2018-02-07" ;
    void:inDataset <http://purl.oclc.org/dataset/WorldCat> ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.