Exchange Rates and Prices

这个项目调查了外汇汇率和商品价格的行为。它提供了对总消费者价格和汇率的新的时间序列分析。它为扩展“新的开放经济宏观经济”模型提供了一个框架。拟议的结构纳入了一个负责分配进口货物的地方部门。该项目探讨汇率的波动性如何取决于“汇率传递”给进口商和消费者的数量，以及消费者对进口商品的需求弹性和进口商/分销商的需求弹性。在考虑到消费者和进口商/分销商的不同作用的情况下，还需要进一步研究直通问题。最后，我们得出了消费者和进口商之间传递的经验指标，并将其与其他参数一起用于模拟这些新模型。该项目的第一阶段提出了一种看待“购买力平价”谜题的新方法。自布雷顿森林体系崩溃以来，发达国家之间的实际汇率一直非常不稳定，而且非常持久。实际汇率的极端波动似乎指向了推动汇率的货币或金融力量，而不是实际生产率或品味冲击。但标准货币模型要求实际汇率持续性取决于名义价格调整的持续性。这个项目打破了名义汇率调整速度和此类模型中隐含的名义价格调整速度之间的联系。开发了一种新的方法，它允许使用未观察到的分量模型来衡量价格和汇率向均衡水平调整的速度。确定均衡水平的关键假设是长期购买力平价假设。该方法不要求均衡水平服从随机游走，也不需要限制创新与均衡分量和瞬时分量的相关性。建议的下一部分提出了扩展名义价格粘性开放经济的动态随机一般均衡优化模型的框架。它寻求扩展分析，并建立模型，将极低水平的汇率传递给消费者，而较大程度的汇率传递给进口价格。在这一框架下，应该能够理解实证结果的含义，即汇率在生产者一级的支出转换效应，但最终商品价格的支出转换很少。新的开放经济宏观文献令人失望的一点是，它在理解名义汇率决定方面缺乏进展。这个项目寻求理解名义汇率高度波动的潜在途径。开放经济模型的推广框架以传递参数和需求弹性为给定。该项目的下一部分开发了一些想法，以扩展关于直通和菜单成本定价的理论文献，在具有进口商/分销商的模型的背景下，这些模型与最终买家不同。最后，该项目建议结合行业价格和进口数据使用关于消费者价格的分类数据，以产生传递和弹性估计，这将有助于校准一般均衡模型。

This project investigates the behavior of foreign exchange rates and goods prices. It provides a new time-series analysis of aggregate consumer prices and exchange rates. It offers a framework for extending "new open-economy macroeconomic" models. The structure proposed incorporates a local sector for distribution of imported goods. The project pursues how the volatility of the exchange rate depends on the amount of "exchange-rate pass-through" to importers and to consumers, and the elasticity of demand for imported goods by consumers and the derived elasticity of demand by importer/distributors. There is further study of the pass-through question, taking into account the separate roles of consumers and importer/distributors. Finally, empirical measures of pass-through to consumers and importers, along with other parameters are derived and used to simulate these new models.The first phase of the project proposes a new way of looking at the "purchasing power parity" puzzle. Real exchange rates among advanced countries have been very volatile and extremely persistent since the collapse of Bretton Woods. The extreme volatility of the real rates seems to point to a monetary or financial force driving the exchange rate, as opposed to real productivity or taste shocks. But the standard monetary model requires that real exchange rate persistence be determined by the persistence of nominal price adjustment. This project breaks the link between the speed of adjustment of nominal exchange rates and the speed of adjustment of nominal prices implicit in such models. A new approach is developed that allows measurement of the speed of adjustment of prices and exchange rates to the equilibrium levels, using an unobserved components model. The key identifying assumption of the equilibrium levels is the long-run purchasing power parity assumption. The approach does not require that the equilibrium levels follow random walks, nor is it necessary to restrict the correlation of innovations to the equilibrium component and the transitory components.The next part of the proposal advances a framework for extending recent dynamic stochastic general-equilibrium optimizing models of open economies with sticky nominal prices. It seeks to extend the analysis, and build models that reconcile the very low levels of exchange-rate pass-through to consumers with the greater degree of pass-through to import prices. Under this framework, it should be possible to understand the implications of empirical results that find expenditure- switching effects of exchange rates at the producer level, but little expenditure switching in final goods prices. One disappointment of the new open economy macro literature is its lack of progress on understanding nominal exchange rate determination. This project pursues potential avenues for understanding the high degree of nominal exchange rate volatility.The framework for generalizing open-economy models takes pass-through parameters and elasticities of demand as given. The next part of the project develops some ideas for extending the theoretical literature on pass-through and menu-cost pricing in the context of models with importer/distributors that are distinct from final buyers. Finally, the project proposes uses disaggregated data on consumer prices in conjunction with industry-level price and import data to produce estimates of pass-through and elasticities that will help calibrate the general equilibrium models.