The Exchange Rate Response to Monetary Policy Innovations
研究发现，货币紧缩后发达国家货币升值而发展中国家货币贬值，并通过模型揭示流动性需求渠道的差异是主因。
We present a new data fact: in response to a monetary tightening, the domestic currency tends to appreciate in developed countries but depreciate in developing countries. A model is developed to rationalize this contrasting pattern. It has three key channels of monetary transmission: a liquidity demand channel, a fiscal channel, and an output channel. The paper shows that a calibrated version of the model can explain the contrast between developed and developing countries. Using counterfactual experiments and empirical evidence, we identify differences in the liquidity demand effect as critical in explaining the contrasting responses generated by the model.