Monetary Policy and the Predictability of Nominal Exchange Rates
研究了货币政策制度如何影响名义汇率和通胀率在决定实际汇率对冲击反应中的相对重要性，发现通胀目标制国家中当前实际汇率可预测未来名义汇率变化，但难以预测未来通胀率，并用DSGE模型量化解释了这些事实。
Abstract This article studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts future changes in the nominal exchange rate. Second, the real exchange rate is a poor predictor of future inflation rates. We estimate a medium-size, open-economy DSGE model that accounts quantitatively for these facts as well as other empirical properties of real and nominal exchange rates. The key estimated shocks that drive the dynamics of exchange rates and their covariance with inflation are disturbances to the foreign demand for dollar-denominated bonds.