Responses of Term Structure of Forward Rates to Interest Rate Adjustment

摘要：

We study the variations in the term structure of the forward exchange rate caused by the interest rate adjustment.Based on the yields-macro model developed in Diebold,Rudebusch and Aruoba (2006),we present the model of term structure of forward exchange rate including macroeconomic variables by Covered Interest Parity (CIP).This model shows that the official interest rate adjustment affects the term structure of forward exchange rates.Furthermore,we analyze how the term structure of forward exchange rates reacts to different monetary policy.We derive the existence conditions of the intersection when the term structure of forward exchange rates move.

关键词： monetary policy domestic-foreign interest rate differentials term structure of forward exchange rate

作者: Yun FENG Xiaoping LI Chongfeng WU

作者单位: Antai College of Economics & Management,Shanghai Jiao Tong University,Shanghai,China 200052

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 82-91

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）