Collaborative Research: International Macroeconomic Policy Transmission

小行星9709083 真实的汇率冲击随着时间的推移逐渐减弱的速度显然非常缓慢，而真实的汇率波动性极高，这两者之间如何协调？ 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，也很难解释偏离购买力平价的半衰期为何如此之长--目前的普遍估计是2.5至5年--除非真实的冲击占主导地位。 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的任何东西。 这个深刻的经验之谜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粘性价格动态开放经济模型的综合方法，基于跨期预算约束的动态最大化和企业的价格制定行为。 这个项目的目标是开发粘性价格跨期模型的变体，以解释这个“购买力平价之谜”。“所采取的方法将考虑各种可能的摩擦，包括贸易限制和各种可能的商品套利成本。 一种方法将涉及在以前的NSF赠款下开发的一个动态Riccati模型的货币版本。 另一种方法是将按市价定价的因素与内生加价相结合。 这些模型将被用来重新审查一个挑衅性的实证文献，认为真实的汇率波动基本上是良性的。

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.