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Exchange Rates and Fundamentals: A General Equilibrium Exploration
http://hdl.handle.net/10086/30293
http://hdl.handle.net/10086/30293e0541e43-2dd4-4078-b913-f17fbe5e1aa3
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070_hiasDP-E-19.pdf (1236780 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2019-04-23 | |||||
| タイトル | ||||||
| タイトル | Exchange Rates and Fundamentals: A General Equilibrium Exploration | |||||
| 言語 | en | |||||
| 作成者 |
加納, 隆
× 加納, 隆 |
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| 寄与者 | ||||||
| 寄与者タイプ | Editor | |||||
| 姓名 | Hitotsubashi Institute for Advanced Study, Hitotsubashi University | |||||
| 言語 | en | |||||
| アクセス権 | ||||||
| アクセス権 | open access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Exchange rate | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Present-value model | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Economic fundamental | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Random walk | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Two-country model | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Incomplete market | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Cointegrated TFPs | |||||
| 主題 | ||||||
| 主題Scheme | Other | |||||
| 主題 | Perfect risk sharing | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Current Draft: April 15, 2019 | |||||
| 言語 | en | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | This is a revised version of a paper previously circulated under the title of “Exchange Rates and Fundamentals: Closing a Two-country Model.” | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Includes Online Appendix | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Engel and West (2005) show that the observed near random-walk behavior of nominal exchange rates is an equilibrium outcome of a partial equilibrium asset approach when economic fundamentals follow exogenous first-order integrated processes and the discount factor approaches one. In this paper, I argue that the unit market discount factor creates a theoretical trade-off within a two-country general equilibrium model. The unit discount factor generates near random-walk nominal exchange rates, but it counterfactually implies perfect consumption risk sharing and flat money demand. Bayesian posterior simulation exercises based on post-Bretton Woods data from Canada and the United States reveal difficulties in reconciling the equilibrium random-walk proposition within the canonical model; in particular, the market discount factor is identified as being much smaller than one. A relative money demand shock is identified as the main driver of nominal exchange rates. | |||||
| 出版者 | ||||||
| 出版者 | Hitotsubashi Institute for Advanced Study, Hitotsubashi University | |||||
| 日付 | ||||||
| 日付 | 2019-04 | |||||
| 日付タイプ | Issued | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| 出版タイプ | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
| 関連情報 | ||||||
| 関連タイプ | isPartOf | |||||
| 関連名称 | Discussion paper series ; No. HIAS-E-19 | |||||
| ページ数 | ||||||
| ページ数 | 28 | |||||
| Sponsorship | ||||||
| 値 | I wish to thank the Seimeikai foundation, the Hitotsubashi Institute for Advanced Study, and a grant-in-aid for scientific research from the Japan Society for the Promotion of Science (numbers 24330060, 17H02542, and 17H00985) for their financial support. | |||||
| JEL | ||||||
| 値 | E31 | |||||
| JEL | ||||||
| 値 | E37 | |||||
| JEL | ||||||
| 値 | F41 | |||||
