NBER WORKING PAPER SERIES INTERNATIONAL LIQUIDITY AND EXCHANGE RATE DYNAMICS
NBER WORKING PAPER SERIES INTERNATIONAL LIQUIDITY AND EXCHANGE RATE DYNAMICS
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DOI：
10.2139/ssrn.2364086
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发表时间：
2014-01
期刊：
影响因子：
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通讯作者：
X. Gabaix;Matteo Maggiori;Ariel Burstein;J. Campbell;Nicolas Coeurdacier;Alessandro Dovis;Bernard Dumas;E. Farhi;Luca Fornaro;Kenneth A. Froot;Nicolae Gârleanu;G. Gopinath;Pierre-Olivier Gourinchas;Oleg Itskhoki;Andrew Karolyi;N. Kiyotaki;Anton Korinek;A. Krishnamurthy;G. Lorenzoni;Brent Neiman;M. Obstfeld;Stavros Panageas;Anna Pavlova;F. Perri;Helen Rey;Ken Rogoff;Lucio Sarno;Hyun Song Shin;A. Shleifer;Jeremy Stein;Adrien Verdelhan
中科院分区：
文献类型：
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作者：
X. Gabaix;Matteo Maggiori;Ariel Burstein;J. Campbell;Nicolas Coeurdacier;Alessandro Dovis;Bernard Dumas;E. Farhi;Luca Fornaro;Kenneth A. Froot;Nicolae Gârleanu;G. Gopinath;Pierre-Olivier Gourinchas;Oleg Itskhoki;Andrew Karolyi;N. Kiyotaki;Anton Korinek;A. Krishnamurthy;G. Lorenzoni;Brent Neiman;M. Obstfeld;Stavros Panageas;Anna Pavlova;F. Perri;Helen Rey;Ken Rogoff;Lucio Sarno;Hyun Song Shin;A. Shleifer;Jeremy Stein;Adrien Verdelhan
我们提供了一个理论的基础上，在不完善的金融市场的资本流动的汇率决定。资本流动通过改变金融机构的资产负债表来驱动汇率，而这些金融机构承担着因金融资产需求的国际失衡而产生的风险。资产负债表的这种变化导致金融家改变其持有货币风险所需的补偿，从而影响到汇率的水平和波动。我们关于不完善金融市场中汇率决定的理论不仅合理化了汇率与传统宏观经济基本面之间的经验脱节，而且对产出和风险分担产生了真实的影响。汇率对金融市场的不平衡很敏感，很少发挥传统宏观经济理论分析的核心作用。我们得出的条件下，非正统的政府金融政策，如货币干预和资本流动的税收，可以改善福利。我们的框架是灵活的;它在一个不完善的金融市场模型中容纳了一些重要的建模特征，如非贸易品、生产、货币、粘性价格或工资、各种形式的国际市场定价和失业。
We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding currency risk, thus impacting both the level and volatility of exchange rates. Our theory of exchange rate determination in imperfect financial markets not only rationalizes the empirical disconnect between exchange rates and traditional macroeconomic fundamentals, but also has real consequences for output and risk sharing. Exchange rates are sensitive to imbalances in financial markets and seldom perform the shock absorption role that is central to traditional theoretical macroeconomic analysis. We derive conditions under which heterodox government financial policies, such as currency interventions and taxation of capital flows, can be welfare improving. Our framework is flexible; it accommodates a number of important modeling features within an imperfect financial market model, such as non-tradables, production, money, sticky prices or wages, various forms of international pricing-to-market, and unemployment.