Asset Markets, Exchange Rates and Monetary Policy: Empirical and Theoretical Investigation

资产市场、汇率和货币政策:实证和理论研究

基本信息

  • 批准号:
    1226007
  • 负责人:
  • 金额:
    $ 27.23万
  • 依托单位:
  • 依托单位国家:
    美国
  • 项目类别:
    Standard Grant
  • 财政年份:
    2012
  • 资助国家:
    美国
  • 起止时间:
    2012-08-15 至 2016-07-31
  • 项目状态:
    已结题

项目摘要

AbstractTitle: Asset Markets, Exchange Rates and Monetary Policy: Empirical and Theoretical Investigation Principal Investigator: Charles Engel The proposed work consists of four separate projects, though they are interrelated. The first project investigates the nature of optimal monetary policy in open economies, with a particular focus on the role of exchange-rate misalignment. Over the past two decades, theoretical macroeconomics has developed a better understanding of the costs of inflation and unemployment (or the "output gap" -the gap between actual output and the full-employment level of output) in Keynesian models based on optimizing microeconomic behavior of households and firms. This work has helped policymakers understand the factors that influence the tradeoffs involved in targeting inflation and the output gap. A recent paper, Engel (American Economic Review, 2011), used a simple Keynesian framework to show how currency misalignments can influence policy choices. In that paper, a currency is misaligned when the movements in nominal exchange rates lead consumer prices in one country relative to another to be out of line with the relative costs of producing and selling goods in those countries. That extension of the Keynesian model shows that reducing these currency misalignments can be an important target for monetary policy when economies are very integrated globally. A shortcoming of that analysis was that it examined policymaking from the cooperative standpoint - that is, assuming monetary policymakers cooperate globally to achieve the highest possible well-being of households in all countries. This project looks at the same question, but when policymakers do not cooperate. Under cooperation, any currency misalignment is detrimental to world welfare because it means that prices do not efficiently reflect costs. However, from a non-cooperative standpoint, these currency misalignments might improve one country's welfare. The exchange rate can influence the employment level and inflation, but the question is how the exchange rate might affect optimal policy goals beyond their effects on output and inflation. For example, when producers set prices in the importing consumer's currency, its revenue expressed in its own currency will be higher for any given level of foreign sales the weaker the domestic currency. Might the non-cooperative policymakers prefer some level of under- or over-valuation? Ultimately is there a significant cost to global welfare when policy is set non-cooperatively? The second project studies the behavior of real exchange rates (the relative consumer price levels in each country, when using the exchange rate to express prices in a common currency) in countries with fixed and floating nominal exchange rates. The study will use consumer price level data for 31 European countries to look at the determinants of real exchange rate adjustment for the countries with in the eurozone compared to adjustment in those countries that do not use the euro and have floating exchange rates. A common belief -not well supported by modern macroeconomic theory, but widely held in policymaking circles- is that floating exchange rates allow faster adjustment of relative price levels between any two given countries than if they have fixed exchange rates or share a common currency. In fact, when nominal exchange rates float but goods prices adjust slowly, the real exchange rate might not adjust efficiently because the nominal exchange rate is influenced by many financial market factors than can lead consumer prices to rise or fall for extended periods of time in one country relative to another. That is, drift in the euro/pound nominal exchange rate may cause real appreciation or depreciation that is unrelated to the supply and demand factors for goods that ought to determine this relative price. The behavior of actual prices and exchange rates are compared to predictions of efficient real exchange rate adjustment. The third project proposes a model of exchange rates and returns on short-term deposits or bonds. A country that can borrow in its own currency may debase its currency through depreciation in order to reduce the real value of its international debt. Such monetary policy behavior amounts to a partial default, because the lender is repaid with currency that has become devalued. In the model, the borrower is punished by international lenders for this behavior by being charged a penalty rate of interest on future loans. The aim here is to model the widely held view in the markets that some currencies, such as the U.S. dollar, are "safe havens". In times of economic uncertainty, the dollar tends to appreciate. From the standpoint of a risk averse investor, it might make sense to park assets in the U.S. during times of global turbulence, but standard models say that should drive up the dollar value of those assets (stocks, bonds, property) but not necessarily increase the value of the dollar. The idea here is that during times of turbulence, monetary policymakers in some countries may be more prone to devalue their currencies, while investors believe the Federal Reserve is less likely to do that. The model perhaps can also explain some puzzles regarding the behavior of exchange rates and interest rates in the short run and long run. The fourth project proposes a new model of exchange rates based on the marginal liquidity value of short-term assets. This is meant to explain the appreciation in the dollar in late 2008 and early 2009, but may also shed light on the determinants of returns during normal times as well. During the crisis, banks and other financial institutions found that they needed to hold greater volumes of short-term dollar denominated assets. Banks need to hold liquid assets to bridge mismatches between depositor demands and the maturity structure of loans, as well as a safety net against default risk on the loan portfolio. Normally the overnight loan market provides an important source of liquidity, but that market dried up during the crisis as lenders began to doubt the value of collateral that banks had to offer. So, a general demand for liquid dollar assets drove up the value of the dollar, even though the crisis originated in the U.S. The plan is to derive empirical measures of the determinants of this liquidity demand, and then test the effects of those determinants on currency values both during the crisis and during normal times.

项目成果

期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)

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Charles Engel其他文献

Forecasting the U.S. Dollar in the 21<sup>st</sup> Century
  • DOI:
    10.1016/j.jinteco.2023.103715
  • 发表时间:
    2023-03-01
  • 期刊:
  • 影响因子:
  • 作者:
    Charles Engel;Steve Pak Yeung Wu
  • 通讯作者:
    Steve Pak Yeung Wu
Advancing Collaborative Care for Autistic Children and Adolescents.
促进自闭症儿童和青少年的协作护理。
  • DOI:
  • 发表时间:
    2023
  • 期刊:
  • 影响因子:
    26.1
  • 作者:
    Luther G. Kalb;Almira Contractor;Charles Engel
  • 通讯作者:
    Charles Engel
Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute the Real Exchange Rate in Sticky Price Models: Does Investment Matter?
达拉斯联邦储备银行全球化和货币政策在粘性价格模型中建立实际汇率:投资重要吗?
  • DOI:
  • 发表时间:
  • 期刊:
  • 影响因子:
    0
  • 作者:
    Enrique Martínez;Jens Søndergaard;M. Astley;Charles Engel;Alberto Musso;Roman Sustek;Jian Wang;Mark A. Wynne;Wenjuan Xie
  • 通讯作者:
    Wenjuan Xie
Long-Horizon Forecasts of Asset Prices when the Discount Factor is Close to Unity *
贴现因子接近统一时资产价格的长期预测*
  • DOI:
  • 发表时间:
    2010
  • 期刊:
  • 影响因子:
    0
  • 作者:
    Charles Engel;Jian Wang;Jason Wu
  • 通讯作者:
    Jason Wu
Federal Reserve Bank of Minneapolis Research Department Staff Report 334 U.s. Real Exchange Rate Fluctuations and Relative Price Fluctuations
明尼阿波利斯联邦储备银行研究部员工报告 334 美国
  • DOI:
  • 发表时间:
  • 期刊:
  • 影响因子:
    0
  • 作者:
    Caroline Betts;Timothy J. Kehoe;David Backus;Rudolfs Bems;Paul Bergin;Mario Crucini;Mick Devereux;Charles Engel;Gonzalo Fernández De Córdoba;Patrick J. Kehoe;Kristian Jönsson;Beverly Lapham
  • 通讯作者:
    Beverly Lapham

Charles Engel的其他文献

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{{ truncateString('Charles Engel', 18)}}的其他基金

Liquidity, Exchange Rates and Policy
流动性、汇率和政策
  • 批准号:
    1918340
  • 财政年份:
    2019
  • 资助金额:
    $ 27.23万
  • 项目类别:
    Standard Grant
Exchange Rates, Monetary Policy, and Trade Policy
汇率、货币政策和贸易政策
  • 批准号:
    0850429
  • 财政年份:
    2009
  • 资助金额:
    $ 27.23万
  • 项目类别:
    Continuing Grant
Exchange Rates, Asset Markets, and Monetary Policy
汇率、资产市场和货币政策
  • 批准号:
    0451671
  • 财政年份:
    2005
  • 资助金额:
    $ 27.23万
  • 项目类别:
    Continuing Grant
Exchange Rates and Prices
汇率和价格
  • 批准号:
    0109286
  • 财政年份:
    2001
  • 资助金额:
    $ 27.23万
  • 项目类别:
    Continuing Grant
An Empirical and Theoretical Investigation into Goods Pricing in Open Economies and the Implications for the Macroeconomy
开放经济中商品定价的实证和理论研究及其对宏观经济的影响
  • 批准号:
    9709491
  • 财政年份:
    1997
  • 资助金额:
    $ 27.23万
  • 项目类别:
    Continuing Grant
An Investigation of Real and Nominal Exchange
真实和名义交换的调查
  • 批准号:
    9320728
  • 财政年份:
    1994
  • 资助金额:
    $ 27.23万
  • 项目类别:
    Continuing Grant

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Designing Markets for Data Exchange and Pricing Data
设计数据交换和定价数据的市场
  • 批准号:
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Exchange Rates When Financial Markets Are Imperfect
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