趋势性通货膨胀和汇率动态：新凯恩斯主义方法

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2024-07-03 DOI:10.1016/j.jimonfin.2024.103128

Takashi Kano

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引用次数: 0

摘要

本研究探讨了两国新凯恩斯主义（NK）模型中趋势通胀对汇率的影响。以趋势通胀概括的新凯恩斯主义菲利普斯曲线使通胀差异更平滑、更持久，对实际汇率的敏感度更低。利用布雷顿森林会议后加拿大和美国的数据进行的贝叶斯分析表明，该模型的均衡依赖于具有持续趋势通胀冲击和强大政策惯性的泰勒规则，模仿了标准 NK 模型中难以调和的汇率经验规律性。趋势性通胀有助于解释汇率动态的经验之谜。

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Trend inflation and exchange rate dynamics: A new Keynesian approach

This study examines the exchange rate implications of trend inflation within a two-country New Keynesian (NK) model. An NK Phillips curve generalized by trend inflation makes the inflation differential smoother, more persistent, and less sensitive to the real exchange rate. A Bayesian analysis with post-Bretton Woods data for Canada and the U.S. shows that the model's equilibrium, which relies on Taylor rules with a persistent trend inflation shock and strong policy inertia, mimics empirical regularities in exchange rates that are difficult to reconcile within a standard NK model. Trend inflation helps explain the empirical puzzles of the exchange rate dynamics.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.