Monetary Policy Shifts and the Forward Discount Puzzle

This paper argues that considerable switches in monetary policy are able to explain a major part of the forward discount puzzle. We build a theoretical model suggesting that violations of the uncovered interest rate parity are owed to shifts in monetary policy from a destabilizing (when the Taylor p...

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Autores:

Jetter, Michael
Nikolsko-Rzhevskyy, Alex

Tipo de recurso:

Fecha de publicación:

2013

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

eng

OAI Identifier:

oai:repository.eafit.edu.co:10784/746

Acceso en línea:

http://hdl.handle.net/10784/746

Palabra clave:

expectations errors
excess returns
forward discount puzzle
Taylor rule
monetary policy

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