Keynes–Harvey模型中的预期和汇率：对2002年至2017年巴西案例的分析

IF 1.8 3区经济学 Q2 ECONOMICS

Review of Keynesian Economics Pub Date : 2021-04-01 DOI:10.4337/ROKE.2021.02.06

Leandro Vieira Araújo Lima, F. Terra

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引用次数: 0

摘要

本文研究了2002-2017年期间巴西对汇率和GDP增长的未来预期与当前名义汇率之间的统计关系。该论文所基于的理论框架是基于凯恩斯（1921；1936）和哈维（2006；2009a）的决策模型，该论文的实证模型由此产生。该模型用自回归分布滞后模型进行了实证检验，以确定时间序列中的短期和长期统计关系。实证估计表明，正如Keynes–Harvey模型预测的那样，对汇率和GDP增长未来变化的预期与巴西当前的名义汇率存在统计上显著的关系。

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Expectations and exchange rates in a Keynes–Harvey model: an analysis of the Brazilian case from 2002 to 2017

This paper investigates the statistical relationship between the future expectations of the exchange rate and GDP growth and the current nominal exchange rate in Brazil during the period 2002–2017. The theoretical framework on which the paper is based is a decision-making model grounded in Keynes (1921; 1936) and Harvey (2006; 2009a), from which the paper's empirical model emerges. This model is tested empirically with autoregressive distributed lag models to identify short- and long-term statistical relationships in time series. The empirical estimations suggest that expectations of future changes in both the exchange rate and GDP growth have a statistically significant relationship with the current nominal exchange rate in Brazil, just as the Keynes–Harvey model predicts.

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来源期刊

Review of Keynesian Economics ECONOMICS-

CiteScore

3.10

自引率

12.50%

发文量

期刊介绍： The Review of Keynesian Economics (ROKE) is dedicated to the promotion of research in Keynesian economics. Not only does that include Keynesian ideas about macroeconomic theory and policy, it also extends to microeconomic and meso-economic analysis and relevant empirical and historical research. The journal provides a forum for developing and disseminating Keynesian ideas, and intends to encourage critical exchange with other macroeconomic paradigms. The journal is dedicated to the development of Keynesian theory and policy. In our view, Keynesian theory should hold a similar place in economics to that held by the theory of evolution in biology. Many individual economists still work within the Keynesian paradigm, but intellectual success demands institutional support that can leverage those individual efforts. The journal offers such support by providing a forum for developing and sharing Keynesian ideas. Not only does that include ideas about macroeconomic theory and policy, it also extends to microeconomic and meso-economic analysis and relevant empirical and historical research. We see a bright future for the Keynesian approach to macroeconomics and invite the economics profession to join us by subscribing to the journal and submitting manuscripts.