Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
研究央行按泰勒规则设定利率时，真实汇率如何由预期通胀和产出缺口决定，并引入公众对政策参数的学习过程，模型能解释1976-2007年德国马克/欧元兑美元汇率的波动和主要走势。
When the exchange rate is priced by uncovered interest parity and central banks set nominal interest rates according to a reaction function such as the Taylor rule, the real exchange rate will be determined by expected inflation and the output gap or the unemployment gap of the home and foreign countries. This paper examines the implications of these Taylor rule fundamentals for real exchange rate determination. Because the true parameters in central bank policy rules are unknown to the public and change over time, the model is presented in the context of a least squares learning environment. This simple learning model captures the volatility and the major swings in the real deutschemark/euro–dollar exchange rate from 1976 to 2007.