Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates
研究美国货币政策冲击对汇率的影响，发现紧缩性冲击导致美元名义和实际汇率持续显著升值，并造成偏离未抛补利率平价的持续偏差。
This paper investigates the effects of shocks to U. S. monetary policy on exchange rates. We consider three measures of these shocks: orthogonalized shocks to the federal funds rate, orthogonalized shocks to the ratio of nonborrowed to total reserves and changes in the Romer and Romer index of monetary policy. In sharp contrast to the literature, we find substantial evidence of a link between monetary policy and exchange rates. Specifically, according to our results a contractionary shock to U. S. monetary policy leads to (i) persistent, significant appreciations in U. S. nominal and real exchange rates and (ii) significant, persistent deviations from uncovered interest rate parity in favor of U. S. interest rates.