UNDERSTANDING EXCHANGE RATE VOLATILITY WITHOUT THE CONTRIVANCE OF MACROECONOMICS
UNDERSTANDING EXCHANGE RATE VOLATILITY WITHOUT THE CONTRIVANCE OF MACROECONOMICS
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DOI：
10.1111/1468-0297.00478
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发表时间：
1999-11
期刊：
影响因子：
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通讯作者：
Robert P. Flood;A. Rose
中科院分区：
文献类型：
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作者：
Robert P. Flood;A. Rose
汇率制度的区别主要在于汇率的活动，而不是可观察到的宏观经济“基本面”。固定汇率通常是稳定的，浮动汇率是波动的，但宏观现象是独立于制度的。基本面因素似乎只在低频率或高通胀时与汇率相关。国际金融学的一个基本任务就是解释汇率波动的这些跨制度差异。证据表明，汇率政策的转变伴随着市场结构的变化;宏观经济考虑是多余的。我们将这种观察形式化为一个具有多重平衡的非线性模型。
Exchange rate regimes differ primarily by the activity of the exchange rate, not observable macroeconomic ‘fundamentals’. Fixed exchange rates are typically stable and floating exchange rates are volatile, but macro phenomena are regime-independent. Fundamentals only seem to be relevant for exchange rates at low frequencies or when inflation is high. A basic task of international finance is explaining these cross-regime differences in exchange rate volatility. The evidence suggests that a switch in exchange rate policy is accompanied by a change in market structure; macroeconomic considerations are superfluous. We formalize this observation in a non-linear model with multiple equilibria.