Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets

IF 6.8 1区 经济学 Q1 BUSINESS, FINANCE
Ozge Akinci, Albert Queralto
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引用次数: 1

Abstract

Abstract We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic “financial accelerator,” leading to large cross-border spillovers of U.S. monetary policy shocks. The model implies a link between uncovered interest parity violations and local credit spreads, a prediction we show the data strongly supports.
不完善金融市场下的汇率动态与货币溢出效应
本文建立了一个量化模型,该模型考虑了美国货币政策对新兴市场的强烈影响。金融不完善既阻止了新兴市场本地借贷利率之间的套利,也阻止了本币与美元借贷利率之间的套利。金融健康和外部条件之间的负面反馈效应放大了国内“金融加速器”,导致美国货币政策冲击的大规模跨境溢出效应。该模型暗示了未发现的利率平价违规行为与当地信用利差之间的联系,我们的数据有力地支持了这一预测。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
16.00
自引率
2.40%
发文量
83
期刊介绍: The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.
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