tailieunhanh - Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation¤

The greatest triumph of microfinance is the demonstration that poor households can be reliable bank customers. The received wisdom at the start of the 1970s held that substantial subsidies were required to run financial institutions serving poor households in low-income countries. Government banks often shouldered the task of serving the poor, usually with a focus on farmers. However, most state-run banks were driven by political imperatives, and so they charged interest rates well below market rates and even then collected loan repayments only half- heartedly. The risks inherent in agricultural lending together with the misaligned incentives led. | Do Central Banks Respond to Exchange Rate Movements A Structural Investigation Thomas A. Lubik Department of Economics Johns Hopkins University y Frank Schorfheide Department of Economics University of Pennsylvania November 17 2003 The authors would like to thank seminar participants at the AEA Meetings in Washington the Canadian Economics Association Meetings in Ottawa the SCE Meetings in Seattle the Bank of Canada the Board of Governors the Federal Reserve Bank of Atlanta and especially Larry Ball Marco Del Negro Richard Dennis Mick Devereux Chris Erceg Sylvain Leduc Tommaso Monacelli Paolo Pesenti Bruce Preston Pau Rabanal and John Rogers for useful comments. Wing Teo provided excellent research assistance. Part of this research was conducted while F. Schorfheide was visiting the Federal Reserve Bank of Philadelphia for whose hospitality is thankful. Financial support from the University Research Foundation of the University of Pennsylvania is gratefully acknowledged. GAUSS programs that implement the empirical analysis are available at http schorf. yMergenthaler Hall 3400 N. Charles Street Baltimore MD 21218. Tel. 410 516-5564. Fax 410 516-7600. Email zMcNeil Building 3718 Locust Walk Philadelphia PA 19104. Tel. 215 898-8486. Fax 215 573-2057. Email schorf@ Abstract We estimate a small-scale structural general equilibrium model of a small open economy using Bayesian methods. Our main focus is the conduct of monetary policy in Australia Canada New Zealand and the . as measured by nominal interest rate rules. We consider generic Taylor-type rules where the monetary authority reacts in response to output inflation and exchange-rate movements. We perform posterior odds test to investigate the hypothesis whether central banks do respond to exchange rates. The main result of this paper is that the central banks of Australia New Zealand and the . do not whereas the Bank of Canada does include the nominal .

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