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：2006
出版社：European Central Bank
摘要：This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric informa- tion approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of informational frictions. For economies exhibiting expan- sionary or strongly contractionary depreciations, such frictions lead to two optimal deviations from full information outcomes: i) under asym- metric information with signal extraction, the realisation of a relatively less frequent shock leads the central bank to behave as if a more likely disturbance had instead taken place; and ii) under asymmetric informa- tion without signal extraction, the monetary authority does not react on impact to shocks. Finally, in the case of mildly contractionary deprecia- tions, both asymmetric information models predict a lack of response of the central bank to aggregate demand shocks, as opposed to an o¤setting movement in interest rates under full information.
关键词：Transmission mechanism; Emerging market economies;Exchange rate; Monetary policy; Imperfect information
