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Can monetary policy cause the uncovered interest parity puzzle?

机译：货币政策会导致未发现的利率平价难题吗？

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摘要

Using a typical open macroeconomic model, we show that the UIP puzzle becomes more pronounced when the monetary policy rule is stricter against inflation. To determine the empirical validity of our model, we examine (the Taylor-rule-type) monetary policy rules and the slope coefficient in the regression of future exchange rate returns on interest rate differentials before and after the recent global financial crisis. We find that economies that reduced the reaction of the policy interest rate to inflation in response to the crisis have positive slope coefficients in the UIP regressions after the crisis, which is consistent with our model. However, economies for which we cannot find clear break evidence for the reaction to inflation in the monetary policy rule do not show a clear directional change in the slope coefficient of the UIP regression. Moreover, the relation implied by our model holds robustly with longer time-series data during the periods prior to the crisis. (C) 2016 Elsevier B.V. All rights reserved.
机译：使用典型的开放式宏观经济模型，我们表明，当货币政策规则对通货膨胀更加严格时，UIP难题变得更加突出。为了确定我们模型的经验有效性，我们研究了（泰勒规则型）货币政策规则以及近期全球金融危机前后利率差额对未来汇率收益的回归中的斜率系数。我们发现，降低危机后政策利率对通货膨胀的反应的经济体在危机后的UIP回归中具有正斜率系数，这与我们的模型一致。但是，对于我们无法在货币政策规则中找到针对通胀反应的明确突破证据的经济体而言，UIP回归的斜率系数没有明显的方向变化。此外，我们模型所隐含的关系在危机发生前的时期内具有更长的时间序列数据。 （C）2016 Elsevier B.V.保留所有权利。

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