Abstract

This article studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts future changes in the nominal exchange rate. Second, the real exchange rate is a poor predictor of future inflation rates. We estimate a medium-size, open-economy DSGE model that accounts quantitatively for these facts as well as other empirical properties of real and nominal exchange rates. The key estimated shocks that drive the dynamics of exchange rates and their covariance with inflation are disturbances to the foreign demand for dollar-denominated bonds.

中文翻译：

---

货币政策与名义汇率的可预测性

摘要

本文研究了货币政策制度如何影响名义汇率和通货膨胀率在塑造实际汇率对冲击的反应中的相对重要性。我们记录了有关以通胀为目标的国家的两个事实。首先，当前实际汇率预测名义汇率的未来变化。其次，实际汇率不能很好地预测未来的通胀率。我们估计了一个中等规模的开放经济DSGE模型，该模型定量地说明了这些事实以及实际汇率和名义汇率的其他经验性质。推动汇率动态及其与通货膨胀的协方差的关键估计震荡是对外国对以美元计价的债券的需求的干扰。