Permanent and temporary monetary policy shocks and the dynamics of exchange rates

This paper asks whether different types of nominal disturbances affect exchange rates differently and whether such distinction helps understanding the short-run and long-run relations between nominal rates and exchange rates, in a context where nominal disturbances are typically seen as important drivers of exchange rate movements. Our empirical exercise relies on monthly data for exchange rates, inflation, nominal interest rates and output from 1971 to 2019, considering the U.S. and another advanced economy among the following: Great Britain, Germany, France, Australia, Switzerland, Japan and the euro area.
In sum, we find that a shock leading to a temporary increase in U.S. nominal interest rates leads to a temporary appreciation of the USD against the other currencies. In turn, a monetary policy shock leading to a permanent rise in nominal interest rates – e.g., one associated with a normalisation of monetary policy after a long period at the zero lower bound – results in a depreciation of the USD, in the short as well as over the long run that may contribute to higher (not lower) inflation also in the short run.
The tables and figures of this paper present the results of the estimation of the VECM and the impulse response functions as well as the FEVD.

本研究探讨不同类型的名义扰动是否对汇率产生不同的影响，以及这种区分是否有助于理解名义利率与汇率之间的短期和长期关系，在名义扰动通常被视为汇率变动重要驱动力的背景下。我们的实证分析基于1971年至2019年的月度数据，包括汇率、通货膨胀、名义利率和产出，考察了美国及其他先进经济体，包括大不列颠、德国、法国、澳大利亚、瑞士、日本以及欧元区。总结而言，我们发现导致美国名义利率暂时上升的冲击会导致美元相对于其他货币的暂时升值。反之，导致名义利率永久性上升的货币政策冲击——例如，与长期处于零利率下限后的货币政策正常化相关的冲击——则导致美元在短期内以及长期内的贬值，这可能会对短期内的通货膨胀率上升（而非下降）产生贡献。本文的表格和图表展示了向量误差修正模型（VECM）和脉冲响应函数的估计结果，以及频率域向量误差修正模型（FEVD）的结果。