Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82320
Authors: 
Andersen, Torben M.
Beier, Niels C.
Year of Publication: 
2004
Series/Report no.: 
Danmarks Nationalbank Working Papers 15
Abstract: 
We analyze the transmission of monetary shocks in a new openeconomy macroeconomics model with one-period nominal contracts and imperfect information. Shocks may have transitory and persistent components, which only through accumulation of information over time becomes known. Responses to shocks are altered compared to 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 re-inforce persistence.
Subjects: 
exchange rates
imperfect information
new open economy macroeconomics
nominal shocks
transitory and persistent shocks
persistence
JEL: 
E32
F41
Document Type: 
Working Paper

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