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A nominálárfolyam viselkedése monetáris rezsimváltás után
[The behaviour of the nominal exchange rate after a change of monetary regime]

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  • Benczúr, Péter

Abstract

Egy racionális várakozásokon alapuló modell igen erős következtetéseket ad a nominálárfolyam monetáris szigorítás utáni viselkedéséről: nagymértékű kezdeti erősödés, amit aztán fokozatos gyengülés követ. Ez a kép erősen ellentmond a tényleges megfigyeléseknek, köztük Magyarország és Lengyelország közelmúltbeli tapasztalatainak, ahol a kezdeti erősödést nem követte szisztematikus gyengülés. A tanulmány azt vizsgálja, hogy menthető-e a racionális várakozások hipotézise, ha bizonytalanságot és tanulást viszünk a modellbe. Az eredmények azt mutatják, hogy egy optimista tanulási forgatókönyv (ami minden periódusban kellemetlen inflációs meglepetéssel jár) vagy egy pesszimista tanulási folyamat (minden periódusban a vártnál jobb inflációs adatok) és a nominálkamat kockázati tartalmának csökkenése képes magyarázni az árfolyam megfigyelt viselkedését.* Journal of Economic Literature (JEL) kód: D83, E4, E5, F31.

Suggested Citation

  • Benczúr, Péter, 2002. "A nominálárfolyam viselkedése monetáris rezsimváltás után [The behaviour of the nominal exchange rate after a change of monetary regime]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 816-837.
    • Handle: RePEc:ksa:szemle:563
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    References listed on IDEAS

    as
    1. Martin Eichenbaum & Charles L. Evans, 1995. "Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(4), pages 975-1009.
    2. N. Gregory Mankiw & Ricardo Reis, 2002. "Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1295-1328.
    3. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, April.
    4. Buiter, Willem & Grafe, Clemens, 2001. "No Pain, No Gain? The Simple Analytics of Efficient Disinflation in Open Economies," CEPR Discussion Papers 3038, C.E.P.R. Discussion Papers.
    5. Lewis, Karen K, 1989. "Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange," American Economic Review, American Economic Association, vol. 79(4), pages 621-636, September.
    6. Svensson, Lars E. O., 2000. "Open-economy inflation targeting," Journal of International Economics, Elsevier, vol. 50(1), pages 155-183, February.
    7. N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information: A Model of Monetary Nonneutrality and Structural Slumps," Harvard Institute of Economic Research Working Papers 1941, Harvard - Institute of Economic Research.
    8. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    9. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, September.
    10. Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, vol. 4(3), pages 179-192, Summer.
    11. László Halpern & Charles Wyplosz, 1997. "Equilibrium Exchange Rates in Transition Economies," IMF Staff Papers, Palgrave Macmillan, vol. 44(4), pages 430-461, December.
    12. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, September.
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    More about this item

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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