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This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy for market expectations. The analysis on the Deutsche mark, Canadian dollar, Japanese yen, and the British pound relative to the U.S. dollar from 1979 to 2008 shows that, through the expectations of future monetary policy, Taylor rule fundamentals are able to forecast changes in the exchange rate, even over short-term horizons of less than two years. Furthermore, the market expectation formation processes of short-term interest rates change over time and differ across countries, which contributes to the time varying relationship between exchange rates and macroeconomic fundamentals, together with the time varying currency risk premia and exchange rate forecast errors.

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy for market expectations. The analysis on the Deutsche mark, Canadian dollar, Japanese yen, and the British pound relative to the U.S. dollar from 1979 to 2008 shows that, through the expectations of future monetary policy, Taylor rule fundamentals are able to forecast changes in the exchange rate, even over short-term horizons of less than two years. Furthermore, the market expectation formation processes of short-term interest rates change over time and differ across countries, which contributes to the time varying relationship between exchange rates and macroeconomic fundamentals, together with the time varying currency risk premia and exchange rate forecast errors.

This thesis consists of four chapters. Each chapter covers a topic in international macroeconomics and monetary policy. The first chapter investigates the impact of unexpected monetary policy shocks on exchange rates in a multi-country econometric model. The second chapter examines the linkage between macroeconomic fundamentals and exchange rates through the monetary policy expectation channel. The third chapter focuses on the international transmission of bank and corporate distress. The last chapter unfolds the interest rate channel of monetary policy transmission in-an emerging economy-China, where regulations and market forces co-exist in this transmission. ; Die vorliegende Dissertation umfasst vier Kapitel, von denen sich jedes mit einem anderen Themengebiet aus der internationalen Makroökonomik und Geldpolitik befasst. Das erste Kapitel analysiert den Einfluss unerwarteter geldpolitischer Schocks auf die Wechselkurse in einem empirischen Mehrländermodell. Das dritte Kapitel untersucht den internationalen Einfluss fiskalpolitischer Schocks. Das zweite Kapitel untersucht den Zusammenhang zwischen makroökonomischen Faktoren und Wechselkursen über den Erwartungskanal der Geldpolitik. Im vierten Kapitel wird die internationale Transmission wirtschaftlicher Schieflagen im Unternehmens- und Bankensektor analysiert. Das letzte Kapitel untersucht den Zinskanal der monetären Transmission in einer aufstrebenden Volkswirtschaft, China, in der sowohl Marktkräfte als auch Regulierung Einfluss auf den Transmissionsprozess entfalten.

In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent empirical literature, these effects have been predominantly described as puzzling, in that they would include delayed overshooting of the exchange rate as well as persistent deviations from uncovered interest parity. We specify an empirical model that in particular (i) allows for simultaneous multi-country adjustments in response to monetary policy shocks, and (ii) takes advantage of the identifying restrictions for monetary policy shocks implied by empirically supported long-run relations between the macroeconomic variables under consideration. Using monthly data from 1978 to 2006 for a panel of nine industrial economies (Australia, Canada, France, Germany, Italy, Japan, New Zealand, United Kingdom, and the United States), we find that U.S. Dollar effective and bilateral real exchange rates appreciate on impact after a contractionary U.S. monetary policy shock, and that there is no delay in the overshooting of the U.S. Dollar. Furthermore, there is no persistent significant forward premium. These results are consistent with the real exchange rate effects of monetary policy shocks in sticky price macroeconomic models, though the results of this paper also suggest that the latter models should be specified so as to capture simultaneous multi-country adjustments to shocks.