两国宏观模型中的不确定性、长期和货币政策风险

IF 1.5 3区经济学 Q2 ECONOMICS

International Economic Review Pub Date : 2024-03-12 DOI:10.1111/iere.12697

Kimberly A. Berg, Nelson C. Mark

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引用次数: 0

摘要

我们在一个具有生产、无实物资本和递归效用的两国新凯恩斯主义模型中研究了货币风险溢价和远期溢价偏差。货币政策遵循利率反馈规则，外生全要素生产率（TFP）增长遵循具有随机波动性的长期风险过程，我们根据数据对该过程进行了估计。随着全要素生产率和货币政策的跨国异质性，在完全市场和不完全市场下都会出现合理的货币风险溢价，但远期溢价偏差微不足道。我们分析了这一相当标准的生产模型在解释远期溢价偏差时所面临的挑战。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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UNCERTAINTY, LONG-RUN, AND MONETARY POLICY RISKS IN A TWO-COUNTRY MACRO MODEL

We study the currency risk premium and the forward premium bias in a two-country New Keynesian model with production, no physical capital, and recursive utility. Monetary policy follows an interest rate feedback rule and exogenous total factor productivity (TFP) growth follows a long-run risk process with stochastic volatility, which we estimate from data. With cross-country heterogeneity in TFP and monetary policy, reasonable currency risk premia emerge under complete and incomplete markets but the forward premium bias is trivial. We diagnose the challenge faced by this fairly standard production model to explain the forward premium bias.

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来源期刊

International Economic Review ECONOMICS-

CiteScore

2.60

自引率

0.00%

发文量

期刊介绍： The International Economic Review was established in 1960 to provide a forum for modern quantitative economics. From its inception, the journal has tried to stimulate economic research around the world by publishing cutting edge papers in many areas of economics, including econometrics, economic theory, macro, and applied economics.