EITM: Empirical and Econometric Research on Exchange Rates and Present Value Models

该提案包括两个大致相等的部分。这两个部分都考虑了线性模型，侧重于现值模型，并特别提到汇率。众所周知，如果序列y是序列x的期望贴现现值，则如果x是随机游动，则y是随机游动。大部分的研究发展了一个新结果的实证和计量经济学意义：如果贴现未来x的贴现因子非常接近1，那么在精确的意义上，只要x遵循任何I（1）过程，y的行为就非常像随机游走。第一部分描述了汇率的实证研究。本研究的目的之一是评估是否普遍接受的随机游走汇率是实质上归因于贴现因子接近1。要做到这一点，一部分是要研究广泛的线性汇率模型，一部分是要具体比较“大贴现系数”的解释与在可观察或不可观察的基本面中看起来是随机游走的解释。本研究还将在贴现率不一定接近1的假设下，以及在汇率不以现值表示的环境下，研究汇率的经济决定因素。第二部分是理论计量经济学和实证工作。将考虑大折扣系数的含义的推广和扩展。另一种渐近近似，打开贴现因子接近1将被开发。这一理论有望提供对资产价格行为的洞察力。该理论将用于随机游走测试的开发，评估和应用，包括自相关和长时间互相关。它也将被应用于远期利率无偏性的测试。计量经济学研究还将开发渐近卡方统计数据，用于在不一定需要贴现因子接近1的假设下检验随机游走假设。研究产生的更广泛的影响理解汇率的行为，以及更普遍的资产价格，对我们理解经济至关重要。这项研究直接关系到以下问题的答案：我们是否应该将资产价格视为真实的经济的预测者？汇率和其他资产价格变动的来源是什么？汇率和其他资产价格如何对政策引起的利率变动作出反应？ 什么是对汇率和其他资产价格波动的良好政策反应？

The proposal consists of two sections of roughly equal magnitude. Both sections consider linear models, focusing on present value models, and with special reference to exchange rates. It is well known that if a series y is the expected present discounted value of a series x, then y is a random walk if x is a random walk. Much of the research develops empirical and econometric implications of a new result: if the discount factor used in discounting future x's is very near 1, then in a precise sense y will behave very much like a random walk as long as x follows any I(1) process.The first section describes empirical research on exchange rates. One aim of this research is to evaluate whether the generally accepted random walk in exchange rates is substantially attributable to a discount factor that is near 1. This will be accomplished in part by studying a wide range of linear exchange rate models, in part by specifically comparing the "large discount factor" explanation with one that looks instead to a random walk in observable or unobservable fundamentals. The research will also study the economic determinants of exchange rates, under assumptions that do not necessarily entail a discount factor near 1, and in environments in which the exchange rate is not expressed as a present value.The second section concerns theoretical econometric and empirical work. Generalizations and extensions of the implications of the large discount factor will be considered. An alternative asymptotic approximation that turns on the discount factor being near 1 will be developed. This theory has promise to deliver insight into the behavior of asset prices. The theory will be used in development, evaluation and application of tests for random walks, including autocorrelations and long-horizon cross-correlations. It will be applied as well to tests of forward rate unbiasedness. The econometric research will also develop asymptotically chi-squared statistics for testing the random walk hypothesis, under assumptions that do not necessarily entail a discount factor near 1.Broader impacts resulting from the researchUnderstanding the behavior of exchange rates, and, more generally, asset prices, is central to our understanding of the economy. The research has direct bearing on the answers to questions such as: Should we look to asset prices as forecasters of the real economy? What are the sources of movements in exchange rates and other asset prices? How do exchange rates and other asset prices respond to policy-induced movements in interest rates? What constitutes a good policy response to fluctuations in exchange rates and other asset prices?