Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets
构建了一个包含国内和国际金融市场不完全性的量化模型，解释了美国货币政策如何通过金融加速器机制对新兴市场产生强烈溢出效应，并发现数据支持利率平价偏离与本地信用利差之间的关联。
Abstract We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic “financial accelerator,” leading to large cross-border spillovers of U.S. monetary policy shocks. The model implies a link between uncovered interest parity violations and local credit spreads, a prediction we show the data strongly supports. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.