{"created":"2021-03-01T07:02:33.374678+00:00","id":42640,"links":{},"metadata":{"_buckets":{"deposit":"a8fd2766-710f-4a15-8063-663f9bcbd308"},"_deposit":{"id":"42640","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42640"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042640","sets":["62:377:7438","9:7435:7439"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"017","bibliographic_titles":[{"bibliographic_title":"JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series"}]}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"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)","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"UTokyo Price Project"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.price.e.u-tokyo.ac.jp/researchdata/","subitem_relation_type_select":"URI"}}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Economics, Hitotsubashi University"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kano, Takashi"}],"nameIdentifiers":[{"nameIdentifier":"98064","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-06-16"}],"displaytype":"detail","filename":"wp017.pdf","filesize":[{"value":"271.3 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"wp017.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/42640/files/wp017.pdf"},"version_id":"c9e1b86d-f346-40b1-83bc-92d928402a9f"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Exchange rates","subitem_subject_scheme":"Other"},{"subitem_subject":"Present-value model","subitem_subject_scheme":"Other"},{"subitem_subject":"Economic fundamentals","subitem_subject_scheme":"Other"},{"subitem_subject":"Random walk","subitem_subject_scheme":"Other"},{"subitem_subject":"Two-country model","subitem_subject_scheme":"Other"},{"subitem_subject":"Incomplete markets","subitem_subject_scheme":"Other"},{"subitem_subject":"Cointegrated TFPs","subitem_subject_scheme":"Other"},{"subitem_subject":"Debt elastic risk premium","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classi cation Number: E31, E37, and F41","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Exchange Rates and Fundamentals : Closing a Two-country Model","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Exchange Rates and Fundamentals : Closing a Two-country Model"}]},"item_type_id":"8","owner":"1","path":["7439","7438"],"pubdate":{"attribute_name":"公開日","attribute_value":"2015-05-11"},"publish_date":"2015-05-11","publish_status":"0","recid":"42640","relation_version_is_last":true,"title":["Exchange Rates and Fundamentals : Closing a Two-country Model"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:47.419225+00:00"}