Exchange Rates, Asset Markets, and Monetary Policy

Prop ID：SE-0451671 P I：Engel，Charles Organization：威斯康星大学麦迪逊分校标题：汇率、资产市场和货币政策项目描述的第一部分建议建立一个开放经济一般均衡模型，该模型包含一些与国际定价行为的经验证据相一致的重要特征，并调查其对货币政策的影响。具体地说，该模型将在短期内纳入汇率对消费者价格的低传递和对进口价格的较高传递。下一部分研究了一个动态随机一般均衡(DSGE)开放经济模型，该模型具有粘性的名义价格和股票交易，可以潜在地解释部分“本土偏向之谜”。该模型将货币和生产率冲击与股票和名义远期外汇合约结合在一起。在生产率冲击的条件下，房屋净值回报率和人力资本回报率之间存在负相关，从而产生了本土偏见。最后一部分探讨了研究人员对汇率现值模型得出的结果，以衡量观察到的“基本面”对汇率变化(对数)的贡献。拟议的统计数据衡量了当存在未观察到的驱动变量时，这些基本面因素对资产价格变化的贡献。我们将探讨统计数据在各种情况下的用处。拟议工作的三个主要领域都涉及开放经济体的应用一般均衡建模。所有这三个部分都是由经验性工作推动的，并且所有三个部分都提出了经验性工作。任何这样的工作最终都将产生更广泛的影响，促进人们更好地了解宏观经济的运作，从而更好地制定政策。第一部分与开放经济体的货币政策制定直接相关。第二和第三部分提出了在非常实用的背景下考察开放型经济的新方法。

ABSTRACTProp ID: SES-0451671 P I: Engel, Charles Organization: University of Wisconsin-Madison Title: Exchange Rates, Asset Markets, and Monetary Policy The first part of the project description proposes building an open-economy general equilibrium model that incorporates some important features that are consistent with empirical evidence on international pricing behavior, and investigating the implications for monetary policy. Specifically, the model will incorporate the low pass-through of exchange rates to consumer prices and the higher passthrough to import prices in the short run. The next part investigates a dynamic stochastic general equilibrium (DSGE) open-economy model, with sticky nominal prices and trade in equities that can potentially explain part of the "home-bias puzzle." The model incorporates monetary and productivity shocks, with equities and nominal forward foreign exchange contracts. Conditional on productivity shocks, there is a negative correlation between home equity returns and returns to human capital, thus generating a home bias. The last part explores results derived by the investigator for present value models of exchange rates to measure the contribution of observed "fundamentals" to the changes in (logs of) exchange rates. The statistic proposed measures the contribution of these fundamentals to changes in asset prices when there are unobserved driving variables. The usefulness of the statistic under various circumstances will be explored. The three major areas of proposed work all involve applied general equilibrium modeling of open economies. All are motivated by empirical work, and all three sections propose empirical work. Any work such as this will ultimately have broader impact in terms of promoting better understanding of the workings of the macroeconomy, and hence better policy making. The first part is directly related to monetary policy making in open economies. The second and third parts propose new methods for examining open economies in very applied contexts.