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

该提案由大小大致相等的两部分组成。这两部分都考虑了线性模型，重点是现值模型，并特别提到了汇率。众所周知，如果序列y是序列x的预期现折现值，则如果x是随机漫步，则y是随机漫步。许多研究发展了一个新结果的实证和计量经济学含义：如果用于贴现未来x的贴现因子非常接近1，那么在精确意义上，只要x遵循任何I(1)过程，y就会表现得非常像随机漫步。第一部分是对汇率的实证研究。本研究的目的之一是评估普遍接受的汇率随机游走是否基本上归因于接近1的贴现因子。这部分将通过研究广泛的线性汇率模型来完成，部分将通过特别比较“大贴现因子”解释与在可观察或不可观察的基本面中随机游走的解释来完成。这项研究还将研究汇率的经济决定因素，在不一定需要接近1的贴现因子的假设下，以及在汇率不以现值表示的环境下。第二部分涉及理论计量经济学和实证工作。将考虑大折扣因素所涉问题的概括和扩展。另一种使折现因子接近于1的渐近近似将被开发出来。这一理论有望提供对资产价格行为的洞察。该理论将用于随机游走测试的开发、评估和应用，包括自相关和长视界交叉相关。它也将应用于远期汇率无偏性的检验。计量经济学研究还将发展渐近卡方统计来检验随机漫步假设，假设不一定需要接近1的折扣因子。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，是我们理解经济的核心。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实体经济的预测者？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发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?