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MONETARY POLICY RULES AND THE FORWARD DISCOUNT BIAS

신민영|유태환
한국경제학회 (The Korean Economic Association)|2006.12|The Korean Economic Review|제22권 제2호|pp. 299-317

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참고문헌

주제분류경제학

초록

Abstract

This is an attempt to explain forward discount bias in the foreign exchange market as influenced by monetary policy rules. A government response function to external shocks is combined with the monetary model for exchange rate determination, and the risk premium is assumed to follow a first order autoregressive process. The forward discount bias is more probable when the government is concerned with interest rate or money supply stability than when monetary policy focuses on the stabilization of foreign exchange rate or price level. These results are consistent with the experiences of ERM in the past – where forward discount bias is not found – and the survey results of Froot and Thaler (1990).

참고문헌 (22)

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