真实汇率的故事

IF 6.8 2区 经济学 Q1 ECONOMICS
Oleg Itskhoki
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引用次数: 0

摘要

实际汇率(RER)衡量各国的相对价格水平,捕捉与购买力平价(PPP)的偏差。RER是国际宏观经济模型中的一个关键变量,因为它是商品和资产市场平衡条件的核心。从经验来看,它也是表现最明显的变量之一,与名义汇率密切相关,与大多数其他宏观经济变量(无论是名义变量还是实际变量)几乎不相关。本文提出了RER确定的均衡框架,分别关注每个构建块并讨论相应的经验证据。我们强调本土偏见和不完全传递到价格中,包括支出转换和商品市场清算、不完善的国际风险分担、国家预算约束和货币政策机制。我们表明,RER本质上是一个一般均衡变量,它取决于完整的模型结构和政策制度,因此像PPP这样的部分理论不足以解释它。我们还讨论了汇率的平稳性和可预测性问题。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Story of the Real Exchange Rate
The real exchange rate (RER) measures relative price levels across countries, capturing deviations from purchasing power parity (PPP). RER is a key variable in international macroeconomic models as it is central to equilibrium conditions in both goods and asset markets. It is also one of the most starkly behaving variables empirically, tightly comoving with the nominal exchange rate and virtually uncorrelated with most other macroeconomic variables, nominal or real. This review lays out an equilibrium framework of RER determination, focusing separately on each building block and discussing corresponding empirical evidence. We emphasize home bias and incomplete pass-through into prices with expenditure switching and goods market clearing, imperfect international risk sharing, country budget constraint, and monetary policy regime. We show that RER is inherently a general equilibrium variable that depends on the full model structure and policy regime, and therefore partial theories like PPP are insufficient to explain it. We also discuss issues of stationarity and predictability of exchange rates.
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来源期刊
CiteScore
9.70
自引率
3.60%
发文量
34
期刊介绍: The Annual Review of Economics covers significant developments in the field of economics, including macroeconomics and money; microeconomics, including economic psychology; international economics; public finance; health economics; education; economic growth and technological change; economic development; social economics, including culture, institutions, social interaction, and networks; game theory, political economy, and social choice; and more.
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