讲座题目： The dollar exchange rate and interest parity: Letting different views compete

主 讲 人： 张任

时   间： 2023年7月21日（周五）16:00-18:00

地   点： 西安交通大学雁塔校区财经主楼806会议室

报告人简介：

张任，德州州立大学麦考商学院助理教授。主要从事国际宏观经济学，货币经济学和应用时间序列模型研究，在Journal of International Money and Finance, Economic Inquiry，Macro Dynamics等期刊发表数十篇论文。

摘要：

The existing structural vector autoregression (SVAR) literature typically focuses on one shock at a time when studying the behavior of exchange rates, which risks confounding the effects of the identified shock with the endogenous responses to unidentified shocks. This paper proposes a novel SVAR approach to jointly evaluate the contributions of anticipated technology shocks, monetary shocks, safe asset demand shocks, and persistent interest rate shocks to exchange rate movements. Our empirical analysis establishes the following findings: First, we document that exchange rates respond to the four structural shocks in distinct patterns. Second, anticipated technology shocks and persistent interest rate shocks are more important contributors to the exchange rate dynamics than monetary shocks and safe asset demand shocks. Third, we develop a novel approach to test the conditional uncovered interest parity (UIP) hypothesis with counterfactual data. Our test indicates that UIP tends to fail conditional on monetary shocks and persistent interest rate shocks. There is no sufficient evidence to reject the UIP hypothesis following anticipated technology shocks or safe asset demand shocks.

经济与金融学院

2023年7月18日