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

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

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引用次数: 0

摘要

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。

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

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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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance