Do central banks respond to exchange rate movements? A Markov-switching structural investigation of commodity exporters and importers
研究了澳大利亚、加拿大等六个小型开放经济体中央银行是否对汇率变动做出反应，发现许多商品出口国（尤其是挪威）的货币政策对汇率反应强烈，且这种反应具有稳定汇率的效果。
We analyse whether central banks in small open commodity exporting and importing countries respond to exchange rate movements, taking into consideration that there may be structural changes in parameters and volatility. Using a Markov Switching Rational Expectations framework, we estimate the model for Australia, Canada, New Zealand, Norway, Sweden and the UK. We find that the size of policy responses, and the volatility of structural shocks, have not stayed constant over the estimation sample. Furthermore, monetary policy has responded strongly to the exchange rate for many commodity exporters, most notablyNorway. This has had a stabilizing effect on the exchange rate. In particular, although the terms of trade are highly volatile among commodity exporters, the exchange rate has about the same volatility across all importers and exporters in the recent period.