Imperfect Information and the Comovement of the Exchange Rate and the Interest Rate: A Signal Extraction Approach
在信号提取框架下分析汇率和利率的联合决定，证明不完全信息会削弱给定冲击下两者的联动关系，基于一个小型开放经济的弹性价格模型。
This paper analyzes the joint determination of the exchange rate and the interest rate in a signal extraction framework. In principle, a given disturbance should generate a systematic relationship between the exchange rate and the interest rate, as two endogenous variables, in the context of any specified economic model. When expectations matter, however, the introduction of imperfect information would weaken the comovement between the two endogenous variables that results from a given disturbance. This simple point is demonstrated in a flexible-price model of a small economy.