Der Bundesbank Gastprofessor Martin Eichenbaum von der Northwestern University wird einen Vortrag im Rahmen des  Research Seminar in Economics halten. Er wird sein Forschungspapier "Monetary Policy and the Predictability of Nominal Exchange Rates", welches er zusammen mit B. Johannsen und S. Rebelo verfasste, am Donnerstag, den 27 April, von 12:15-13:45 Uhr im Henry Ford Bau (Hörsaal B), Garystraße 35, an der Freie Universität Berlin vorstellen.

Abstract:

This paper documents two facts about the behavior of floating exchange rates in countries where monetary policy follows a Taylor-type rule. First, the current real exchange rate is highly negatively correlated with future changes in the nominal exchange rate at horizons greater than two years. This negative correlation is stronger the longer is the horizon. Second, for most countries, the real exchange rate is virtually uncorrelated with future inflation rates both in the short and in the long run. We develop a class of models that can account for these observations. Our preferred model is also consistent with other key observations about the volatility and persistence of real exchange rates, as well as the fact that standard tests of uncovered interest rate parity reject that hypothesis.

Weitere Informationen bezüglich des Research Seminar in Economics und dessen Programm können hier gefunden werden.