Currency substitution, risk premia and the Taylor principle

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2014
Volume: 48
Issue: C
Pages: 202-217

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper studies the equilibrium determinacy properties of a simple interest rate rule in a small open economy subject to currency substitution (i.e., the use of a foreign currency for domestic transactions) and risk premia on foreign borrowing. It shows that if currencies are substitute in the provision of liquidity services the rule׳s response to inflation has to be sufficiently above unity for the equilibrium to be locally determinate. This reinforced Taylor principle requirement appears to be more binding in economies characterized by a larger elasticity of currency substitution, more debt-elastic country risk premia, and intermediate degrees of dollarization in transactions.

Technical Details

RePEc Handle
repec:eee:dyncon:v:48:y:2014:i:c:p:202-217
Journal Field
Macro
Author Count
1
Added to Database
2026-01-24