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International transmission of transitory and persistent monetary shocks under imperfect information
Oleh : Torben M. Andersena,T, Niels C. Beier, ELSEVIER (tandersen@econ.au.dk (T.M. Andersen).)
Dibuat : 2010-06-24, dengan 1 file
Keyword : International, transmission, transitory, monetary, information
Url : http://www.elsevier.com/locate/econbase
We analyze the transmission of monetary shocks in a new open-economy macroeconomics model with one-period nominal contracts and imperfect information. Shocks may have transitory and persistent components that can be disentangled only through the accumulation of information over time. As a consequence, the responses to shocks are significantly altered compared with the case of full information. There are persistent effects on international relative prices, and delayed exchange-rate overshooting is possible following a persistent shock. In some cases, there are (ex post) excess returns as a positive interest rate spread is accompanied by an appreciating currency (or vice versa). Lastly, it is demonstrated that staggering reinforces persistence.
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Andersen_Inernational
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