Divergent relationships between exchange rate pass-through and policy rates across economies: An extension of the Taylor rule

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-12 DOI:10.1016/j.frl.2024.106456

Wei Ma, Renzhong Zhang, Liyan Han, Wei Li

引用次数: 0

Abstract

Although central banks often prioritize exchange rate stability, its role is frequently overlooked in the monetary policy analysis and simple interest rate rules do not comprise exchange rate arguments even in small open economies. This study extends the traditional Taylor rule by incorporating exchange rate deviations to determine their influence on monetary policy conduct across various economies. Our findings reveal heterogeneous impacts of exchange rate deviations on policy rates. Specifically, exchange rates significantly influence monetary policy in economies with fixed exchange rate regimes, higher foreign reserve ratios and lower levels of financial development.

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不同经济体之间汇率传递与政策利率之间的关系存在差异：泰勒规则的扩展

尽管中央银行经常优先考虑汇率稳定，但其作用在货币政策分析中经常被忽视，即使在小型开放经济体中，简单的利率规则也不包括汇率论据。本研究扩展了传统的泰勒规则，将汇率偏差纳入其中，以确定其对不同经济体货币政策行为的影响。我们的研究结果揭示了汇率偏离对政策利率的不同影响。具体而言，在实行固定汇率制度、外汇储备比率较高和金融发展水平较低的经济体中，汇率会对货币政策产生重大影响。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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