ABSTRACT

In this paper we derive a new model on exchange rate response to a lasting higher interest rate level. Contemporary models do not provide a convincing explanation for this relationship, but recent research suggests that models based on demand-pull effects to be somewhat confined to small funding cost increases. This would make cost-push effects more relevant when the interest rate differential (IRD) is larger and longer-lasting. The new model accounts for cost-push effects and suggests that a persistent higher IRD can evoke multiple responses, including currency depreciation, specialization, inflation, and wage drift. The model suggests that excessive long-lasting IRD can spark a chronic interaction between inflation and currency depreciation. Empirical data substantiate the prediction capability of the new model. We also demonstrate how the uncovered interest rate parity (UIP) principle is a special case, which can explain its empirical research anomalies, and when carry trade is a profitable investment strategy.

摘要

在本文中，我们推导了关于汇率对持续较高利率水平的响应的新模型。当代模型并不能为这种关系提供令人信服的解释，但是最近的研究表明，基于需求拉动效应的模型在一定程度上被限制在少量的资金成本增加上。当利率差异（IRD）较大且持续时间较长时，这将使成本推销效应更加相关。新模型考虑了成本推动效应，并认为持续较高的IRD可以引起多种反应，包括货币贬值，专业化，通货膨胀和工资漂移。该模型表明，过度持久的IRD可能会引发通货膨胀与货币贬值之间的长期互动。经验数据证实了新模型的预测能力。