Exchange Rates and Prices

本课题研究外汇汇率和商品价格的行为。它提供了一个新的总消费价格和汇率的时间序列分析。它为扩展“新的开放经济宏观经济”模型提供了一个框架。拟议的结构包括一个分销进口货物的地方部门。该项目研究汇率波动如何取决于“汇率传递”给进口商和消费者的数额，以及消费者对进口货物的需求弹性和进口商/分销商的衍生需求弹性。 考虑到消费者和进口商/分销商的不同作用，对转嫁问题作了进一步研究。最后，经验的措施，通过消费者和进口商，沿着其他参数的推导和使用模拟这些新model.The项目的第一阶段提出了一个新的方式来看待“购买力平价”的难题。自布雷顿森林体系崩溃以来，发达国家之间的真实的汇率一直非常不稳定，而且持续性极强。真实的汇率的极端波动似乎表明是货币或金融力量推动了汇率，而不是真实的生产力或口味冲击。但标准货币模型要求真实的汇率持续性取决于名义价格调整的持续性。该项目打破了这些模型中隐含的名义汇率调整速度与名义价格调整速度之间的联系。一种新的方法，允许使用未观察到的组件模型的价格和汇率的均衡水平的调整速度的测量。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遵循随机游走，也没有必要限制相关的创新的均衡组件和transsional components.The建议的下一部分提出了一个框架，扩展最近的动态随机一般均衡优化模型的开放经济与粘性的名义价格。它试图扩展分析，并建立模型，使汇率对消费者的传递水平非常低，而对进口价格的传递程度更高。在这一框架下，应该可以理解实证结果的含义，这些结果发现汇率在生产者一级的支出转换效应，但在最终商品价格方面几乎没有支出转换。新开放经济宏观文献的一个令人失望之处是，它在理解名义汇率决定方面缺乏进展。本研究课题探索理解名义汇率高度波动的可能途径。开放经济模型的一般化框架以传递参数和需求弹性为前提。该项目的下一部分开发了一些想法，扩展理论文献的背景下，通过和菜单成本定价的模型与进口商/分销商，是不同于最终买家。 最后，该项目建议使用消费者价格分类数据，结合行业价格和进口数据，对传递和弹性进行估计，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.