Real Exchange Rate Persistence and Monetary Policy Rules

By Gianluca Benigno. 2004

194 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a714b4ab7e25082a330b00ebb7842549d54122d7

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In Economics and Econometrics

Citations in the corpus

Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, unknown): “Empirical research on the forward premium and delayed overshooting puzzles, 1 Benigno (2004) shows that, in the context of a model incorporating a Taylor rule, real exchange rate persistence requires interest rate smoothing. however, is not supportive of UIRP in the short run.”
Taylor Rules and the Deutschmark-Dollar Real Exchange Rate (2006, unknown): “For example, to generate plausible persistence in real exchange rates, Benigno (1999) requires that a lag of the interest appear in the monetary rule with a large coefficient.”
An Estimated DSGE Model for the German Economy within the Euro Area (2005, unknown): “lt(h, z) = 1 n Lt(z) [W nom t (h)/W nom t ] − w t εt (8)”
Equivalence Results for Optimal Pass-Through, Optimal Indexing to Exchange Rates, and Optimal Choice of Currency for Export Pricing (2006, background): “Benigno (2004) finds, on the other hand, that real exchange rate persistence can be explained in a model with even more frequent price adjustment, depending on the interest-rate rule applied by the monetary authorities.”
Inference on stochastic time-varying coefficient models (2014, background): “Benigno (2002) offers another explanation, illustrating how the persistence of the real exchange rate is in part a function of the difference between monetary policy rules in operation in two countries. Imbs, Mumtaz, Ravn, and Rey (2005) and Chen and Engel (2005) have debated whether real exchange r”