超越商业周期的实际汇率动态

Dan Cao, Martin D. D. Evans, Wenlan Luo
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引用次数: 1

摘要

我们研究了实际汇率和GDP的中期变动如何随国际金融状况而变化。为此,我们通过各种IRBC模型研究生产率冲击的国际传导,这些模型包含了关于生产率冲击持续时间、国际风险分担程度和进入国际资产市场的不同假设。利用一种新的全球解决方法,我们证明了生产率冲击的传导在很大程度上取决于一国经济是否接近其国际借贷上限。然后,我们证明了IRBC模型的这一含义与过去200年来美英实际汇率和GDP的行为是一致的。该模型还得出了相对消费增长与实际折旧率之间的负相关关系,这与最近的数据一致,因此为巴克斯-史密斯之谜提供了一个解决方案。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Real Exchange Rate Dynamics Beyond Business Cycles
We examine how medium-term movements in real exchange rates and GDP vary with international financial conditions. For this purpose, we study the international transmission of productivity shocks across a variety of IRBC models that incorporate different assumptions about the persistence of productivity shocks, the degree of international risk sharing and access to international asset markets. Using a new global solution method, we demonstrate that the transmission of productivity shocks depends critically on the proximity of a national economy to its international borrowing limit. We then show that this implication of the IRBC model is consistent with the behavior of the US-UK real exchange rate and GDP over the past 200 years. The model also produces a negative correlation between relative consumption growth and real depreciation rate consistent with more recent data, and hence offers a resolution of the Backus-Smith puzzle.
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