Data and Code for: Delayed Overshooting: The Case for Information Rigidities

Principal Investigator(s):  View help for Principal Investigator(s) Gernot Müller, University of Tübingen; Martin Wolf, University of St Gallen; Thomas Hettig, independent researcher

Version:  View help for Version V1

Name File Type Size Last Modified
Data.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 10.8 MB 04/29/2020 12:02:AM
Fig1.pdf application/pdf 19.4 KB 06/17/2020 07:33:AM
Fig2_1.pdf application/pdf 20.6 KB 10/31/2023 12:06:AM
Fig2_2.pdf application/pdf 11 KB 10/31/2023 12:07:AM
Fig2_3.pdf application/pdf 13.1 KB 10/31/2023 12:07:AM
Fig2_4.pdf application/pdf 11.3 KB 10/31/2023 12:07:AM
Fig3_1.pdf application/pdf 17.1 KB 10/31/2023 12:07:AM
Fig3_2.pdf application/pdf 14 KB 10/31/2023 12:07:AM
Fig3_3.pdf application/pdf 14.1 KB 10/31/2023 12:07:AM
Fig3_4.pdf application/pdf 14 KB 10/31/2023 12:07:AM
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Project Citation: 

Müller, Gernot, Wolf, Martin, and Hettig, Thomas. Data and Code for: Delayed Overshooting: The Case for Information Rigidities. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-06-13. https://doi.org/10.3886/E193087V1

Project Description

Summary:  View help for Summary We provide evidence that the delayed overshooting puzzle reflects a slow adjustment of exchange-rate expectations to monetary policy shocks, rather than a failure of uncovered interest parity. Consistent with this evidence, we put forward a New Keynesian model in which uncovered interest parity holds but there are information rigidities: Investors do not observe monetary policy shocks, but learn rationally from unanticipated shifts in monetary policy about the state of the economy. We estimate the model and find it can account for the joint responses of the spot exchange rate, forward exchange rates and excess currency returns to monetary policy shocks.
Funding Sources:  View help for Funding Sources Heinrich Wachter Stiftung

Scope of Project

Subject Terms:  View help for Subject Terms exchange rates; delayed overshooting; UIP; excess returns; monetary policy; information effect; information rigidities
JEL Classification:  View help for JEL Classification
      E43 Interest Rates: Determination, Term Structure, and Effects
      F31 Foreign Exchange
Geographic Coverage:  View help for Geographic Coverage US
Time Period(s):  View help for Time Period(s) 1/31/1976 – 12/31/2007


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V1 [2024-06-13]

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