Collaborative Research: International Macroeconomic Policy Transmission

9709083罗格夫如何才能调和明显非常缓慢的实际汇率冲击随着时间的推移而减弱的速度，以及实际汇率的极高波动性？一方面，如果不假设货币和金融市场冲击占主导地位，似乎很难解释短期汇率波动。另一方面，也很难解释购买力平价偏离的典型半衰期看起来非常长--目前的普遍估计约为2.5至5年--除非真正的冲击占主导地位。这一时间框架似乎远远超出了可以归因于名义工资或价格刚性的传统来源。这一深刻的经验谜题困扰着大多数政策研究中使用的旧模型。在他们之前的NSF项目中，研究人员开发了一种替代的综合方法来构建粘性价格动态开放经济模型，该模型基于跨期预算约束下的动态最大化，以及企业的定价行为。该项目的目标是开发粘性价格跨期模型的变种，以解释这一“购买力平价之谜”。采取的做法将考虑各种可能的摩擦，包括贸易限制和一系列可能的大宗商品套利成本。一种方法将涉及根据前一笔NSF拨款开发的动态李嘉图模型的货币版本。另一种是将定价因素与市场定价因素结合起来，并引入内生加价。这些模型将被用来重新审视一本具有挑衅性的经验文献，该文献认为实际汇率波动在很大程度上是良性的。

9709083 Rogoff How can one reconcile the apparently very slow rate at which real exchange rate shocks damp out over time, with the extremely high volatility of real exchange rates? On the one hand, it would seem hard to explain short-term exchange rate volatility without assuming that monetary and financial market shocks are predominant. On the other hand, it is also hard to explain the apparently very long typical half life of deviations from Purchasing Power Parity - the consensus estimate is now roughly 2.5 to 5 years - unless real shocks predominate. This time frame seems far beyond anything that can be attributed to the conventional sources of nominal wage or price rigidity. This profound empirical puzzle plagues older models used in most policy research. In their previous NSF project, the investigators developed an alternative integrative approach to sticky-price dynamic open-economy models, based on dynamic maximization subject to intertemporal budget constraints, and on price-setting behavior by firms. The goal of this project is to develop variants of sticky-price intertemporal models that can explain this "purchasing power parity puzzle." The approach taken will consider a variety of possible frictions, including trade restrictions and a broad array of possible commodity arbitrage costs. One approach will involve a monetary version of a dynamic Ricardian model developed under the previous NSF grant. Another will involve incorporating pricing-to-market factors with endogenous markups. These models will be used to re-examine a provocative empirical literature arguing that real exchange rate volatility is largely benign.