期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2005
出版社：European Central Bank
摘要：The link between exchange rates and interest rates features promi- nently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorpo- rates the role of exchange rate pass-through into domestic prices and distinguishes between cases of expansionary and contractionary depreci- ations. The model results show that the correlation between exchange rates and interest rates, conditional on an adverse risk premium shock, is negative for expansionary depreciations and positive for contractionary ones. For this type of shock, interest rates are found to be raised to pre- vent the contractionary e¤ect of a depreciation regardless of whether the latter e¤ect is strong or mild. Interest rates are predicted to also rise in response to an adverse net export shock in contractionary depreciation cases, and to be lowered in the case of expansionary ones.
