Tradability of Goods, Exchange Rate Movements and Capital Flows

在战后数据中，真实的汇率波动很大，并广泛和系统地偏离其购买力平价值。 自布雷顿森林体系崩溃以来，真实的汇率和名义汇率高度正相关。这一事实被广泛引用为名义价格刚性的（间接）证据，例如真实的汇率完全由名义汇率的冲击驱动，而相对的国家价格水平相对平稳。 部分由于这一证据，分析汇率的主要理论框架的特点是名义刚性。这些框架成功地复制了国际商业周期和汇率事实的许多特征。 研究者和Caroline Betts获得的初步结果很难与真实的汇率完全由名义汇率的冲击驱动的观点相一致。 然而，他们表明，真实的汇率也与非贸易商品相对于贸易商品的相对价格高度相关，这表明真实的因素是真实的汇率的关键决定因素。此外，他们表明，一个多国家，多部门的真实的商业周期模型是能够产生相对价格行为在部门和总的水平，匹配墨西哥-美国的数据。他们开发了一类商业周期模型，可以解决这些令人困惑的汇率行为的经验特征。这项研究将通过引入国家资金的作用来扩大这项工作。一个关键的目标是，将真实的汇率和名义汇率之间的高度相关性与各国之间的真实的汇率和非贸易商品与贸易商品的相对价格之间的高度相关性相协调。另一个目标是复制国际商业周期数据的其他关键特征。这项研究的大部分将是与卡罗琳M。南加州大学的贝茨说。 这项研究将扩展贝茨和凯霍关于墨西哥-美国真实的汇率与贸易商品相对于非贸易商品价格之间关系的实证分析。到目前为止，我们的分析一直使用年度总产出平减指数来衡量部门相对价格，我们建议调查其他价格数据来源和频率。 它还将分析扩展到其他国家，并探索这组国家名义汇率和名义价格的经验行为。所提出的多国家、多部门、商业周期模型与传统的真实的汇率决定理论不同，因为不同部门的产出，而不是可贸易或不可贸易的，具有不同程度的可贸易性。可交易性的程度取决于奥布斯特菲尔德和罗格夫所强调的交易成本。 这些模式包含了相当多的部门细节，有些模式允许国家资金发挥作用。真实的冲击和货币冲击推动国际波动。一个没有货币的模型的初步结果是令人鼓舞的：人们不需要名义刚性来解释真实的汇率波动的规模甚至大部分持续性。根据总产出的可变性和持久性对具体国家的需求冲击进行调整，足以反映各部门的国际相对价格变动情况。此外，尽管模型中没有货币特征，但该模型可以解释真实的汇率相对于各国非贸易商品与贸易商品的相对价格的高波动性，尽管取得了这些成功，但模型的非货币版本对真实的汇率与名义汇率之间的关系以及名义冲击的作用保持沉默。拟议的研究将引入最简单的数量方程模型，其中经济的真实的方面不受货币的影响。此外，我们提出了一个现金预付款的变体，其中金钱可以引起扭曲的休闲劳动力的选择。我们希望任何货币模型都能复制的数据的关键特征是真实的和名义汇率的高度相关性，以及我们的实证工作中显示的相对价格行为。

In post-war data real exchange rates have been highly volatile and have deviated widely and systematically from their purchasing power parity values. Since the breakdown of the Bretton Woods system, real and nominal exchange rates are highly positively correlated. This fact is widely cited as (indirect) evidence of nominal price rigidities, such that real exchange rates are driven entirely by shocks to the nominal exchange rate, while relative national price levels are relatively smooth. Partly as a result of this evidence, the predominant theoretical frameworks for analyzing exchange rates are characterized by nominal rigidities. Such frameworks have been successful in replicating many features of international business cycle and exchange rate facts. The investigator and Caroline Betts have obtained preliminary results that are difficult to reconcile with the idea that real exchange rates are driven solely by shocks to the nominal exchange rate. They have shown that real exchange rates are also very highly correlated with the relative prices of nontraded to traded goods, however, suggesting that real factors are key determinants of real exchange rates. Furthermore, they show that a multicountry, multisector real business cycle model is capable of generating relative price behavior at both the sectoral and aggregate level that matches Mexico-US data. They develop a class of business cycle models that can address these puzzling empirical features of exchange rate behavior. The research would extend this work through the introduction of a role for national monies. A key goal is to reconcile the evidence of high correlations between real and nominal exchange rates with that of high correlations of real exchange rates and the relative price of nontraded to traded goods across countries. Another goal is to replicate other key features of international business cycle data. Much this research would be joint work with Caroline M. Betts of the University of Southern California. The research would extend the empirical analysis of Betts and Kehoe on the relationship between the Mexico-US real exchange rate and the relative prices of traded to nontraded goods. The analysis to date has used annual gross output deflators to measure sectoral relative prices, and we propose to investigate other sources and frequencies of price data. It would also extend the analysis to the other countries and to explore the empirical behavior of nominal exchange rates and nominal prices for this group of countries.The proposed, multicountry, multisector, business cycle models depart from traditional theories of real exchange rate determination in that the outputs of different sectors, rather than being either tradable or nontradable, have differing degrees of tradability. The degree of tradability is determined by the sort of trade costs emphasized by Obstfeld and Rogoff . The models incorporate considerable sectoral detail, and some allow roles for national monies. Real and monetary shocks drive international fluctuations. Preliminary results for a model without money are encouraging: One does not need nominal rigidities to account for the size or even most of the persistence of real exchange rate fluctuations. Country-specific demand shocks calibrated to match the variability and persistence of aggregate output are sufficient to capture international relative price movements by sector. Further, the model can account for the high volatility of the real exchange rate compared to the relative price of nontraded to traded goods across countries, despite the absence of monetary features in the model.Despite these successes, nonmonetary versions of the model are silent on the relationship between real and nominal exchange rates and the role of nominal shocks. Proposed research would introduce the simplest possible quantity equation model in which the real side of the economy is unaffected by money. In addition, we propose a cash-in-advance variant in which money can give rise to a distortion in the leisure-labor choice. Key features of the data that we would want any monetary model to replicate is the high correlation of real and nominal exchange rates and the behavior of relative prices shown in our empirical work.