Modeling International Capital Flows and Exchange Rates Movements

国际资本流动和汇率变动建模

• 批准号: 9618370
• 负责人: Timothy Kehoe
• 金额: $ 17.85万
• 依托单位: University of Minnesota-Twin Cities
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-07-01 至 2000-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9618370&HistoricalAwards=false
• 关键词: Modeling; International; Capital; Flows; Exchange

The 1990s have witnessed both a dramatic expansion of capital flows into developing economies-the emerging markets boom-and an equally dramatic contraction of such flows following the 1994-1995 financial crisis in Mexico. The purpose of this research is to construct intertemporal general equilibrium models both for analyzing the capital flows that would follow financial opening in developing economies and for analyzing financial crises like that in Mexico. Although much of the proposed research focuses on the case of Mexico, it is applicable far more widely. This project will extend previous work by the author on modeling financial crises. It will generalize this work on self-fulfilling debt crises to allow for consumers who have risk-averse preferences and who would borrow and lend internationally. Preliminary results indicate that this extension will capture the capital flight that occurs when the probability of a debt crisis increased. The research will also develop an alternative, but related, model of self-fulfilling currency crises. The models of debt crises and those of currency crises will ultimately be linked through the crucial role that foreign reserves held by the government play in each model. A central feature of the proposed crises models is that they will be fully specified dynamic, stochastic general equilibrium models, as contrasted with the reduced form models found in the literature. In addition, a dynamic, stochastic general equilibrium model in which banking crises can occur in equilibrium will also be contracted and analyzed.

20世纪90年代，资本流入发展中经济体的急剧扩张-新兴市场繁荣-以及1994-1995年墨西哥金融危机后同样急剧收缩。本研究的目的是构建跨期一般均衡模型，用于分析发展中经济体金融开放后的资本流动，以及分析墨西哥等金融危机。虽然大多数拟议的研究集中在墨西哥的情况下，它是适用的更广泛。 这个项目将扩展作者以前的金融危机建模工作。 它将推广这项关于自我实现的债务危机的工作，以考虑到具有风险厌恶偏好和愿意在国际上借贷的消费者。 初步结果表明，这一扩展将涵盖发生债务危机的可能性增加时发生的资本外逃。 该研究还将开发一个替代的，但相关的，自我实现的货币危机模型。 债务危机模型和货币危机模型最终将通过政府持有的外汇储备在每个模型中发挥的关键作用而联系起来。 拟议的危机模型的一个中心特点是，他们将完全指定的动态，随机一般均衡模型，与文献中发现的简化形式的模型相比。 此外，一个动态的，随机的一般均衡模型，其中银行危机可以发生在均衡也将收缩和分析。