International transmission of transitory and persistent monetary shocks under imperfect information

摘要

We analyze the transmission of monetary shocks in a new open-economy macroeconomics model with one-period nominal contracts and imperfect information.Shocks may have transitory and persistent components that can be disentangled only through the accumulation of information over time.As a consequence,the responses to shocks are significantly altered compared with the case of full information.There are persistent effects on international relative prices,and delayed exchange-rate overshooting is possible following a persistent shock.In some cases,there are (ex post) excess returns as a positive interest rate spread is accompanied by an appreciating currency (or vice versa).Lastly,it is demonstrated that staggering reinforces persistence.