McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to previous estimates of this rule, the monetary authorities in Canada, Germany and the U.K. respond to nominal exchange rate movements. Our model is also able to replicate the forward premium puzzle

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Year of publication:	[2009]
Authors:	Diez de los Rios, Antonio
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Theorie \| Theory \| Wechselkurs \| Exchange rate \| Währungsderivat \| Currency derivative \| Wechselkurspolitik \| Exchange rate policy

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Extent:	1 Online-Ressource (43 p)
Series:	Bank of Canada Working Paper ; No. 2008-43
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2008 erstellt
Other identifiers:	10.2139/ssrn.1292698 [DOI]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; F31 - Foreign Exchange ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012720205