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Exchange Rates and Fundamentals : Closing a Two-country Model
http://hdl.handle.net/2261/55355
http://hdl.handle.net/2261/553557e84c38b-ec6c-4dc2-9737-2a2f35a386ee
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp017.pdf (271.3 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-05-11 | |||||
| タイトル | ||||||
| タイトル | Exchange Rates and Fundamentals : Closing a Two-country Model | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Exchange rates | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Present-value model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Economic fundamentals | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Random walk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Two-country model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Incomplete markets | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Cointegrated TFPs | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Debt elastic risk premium | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classi cation Number: E31, E37, and F41 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Kano, Takashi
× Kano, Takashi |
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| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, Hitotsubashi University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In an influential paper, Engel and West (2005) claim that the near random-walk behavior of nominal exchange rates is an equilibrium outcome of a variant of present-value models when economic fundamentals follow exogenous rst-order integrated processes and the discount factor approaches one. Subsequent empirical studies further con rm this proposition by estimating a discount factor that is close to one under distinct identi cation schemes. In this paper, I argue that the unit market discount factor implies the counterfactual joint equilibrium dynamics of random-walk exchange rates and economic fundamentals within a canonical, two-country, incomplete market model. Bayesian posterior simulation exercises of a two-country model based on post-Bretton Woods data from Canada and the United States reveal difficulties in reconciling the equilibrium random-walk proposition within the two-country model; in particular, the market discount factor is identi ed as being much lower than one. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 017, 発行日 2013-09 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
