haku: @indexterm open economy / yhteensä: 204
viite: 66 / 204
| Tekijä: | Dilen, H. |
| Otsikko: | A model of the term structure of interest rates in an open economy with regime shifts |
| Lehti: | Journal of International Money and Finance
1997 : OCT, Vol. 16:5, p. 795-819 |
| Asiasana: | INTEREST RATES OPEN ECONOMY EXCHANGE RATES |
| Kieli: | eng |
| Tiivistelmä: | This study presents a term structure model driven by three factors: the foreign real interest rate, the domestic inflation rate, and the real exchange rate. The model is designed to capture effects originating from exchange rate fluctuations and actions by central banks. Special attention is paid to regime shifts such as changes in the target inflation rate and devaluations. An interesting result is that imperfect credibility of a target zone for the exchange rate mainly affects short-term interest rates, whereas a loss in an inflation target's credibility is likely to increase long-term interest rates. |
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