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Stochastic Equilibrium And Exchange Rate Determination In A Small Open Economy With Risk Averse Optimizing Agents
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Book Synopsis Stochastic Equilibrium and Exchange Rate Determination in a Small Open Economy with Risk Averse Optimizing Agents by : Earl L. Grinols
Download or read book Stochastic Equilibrium and Exchange Rate Determination in a Small Open Economy with Risk Averse Optimizing Agents written by Earl L. Grinols and published by . This book was released on 1991 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper constructs a stochastic general equilibrium model of a small open economy consisting of risk averse optimizing agents. The stochastic processes describing the rate of monetary growth, government expenditure, private production, and the foreign price level are taken to be exogenous, determining all asset risks and returns, and the equilibrium stochastic processes describing the domestic inflation rate and the exchange rate. The model is used to examine a number of issues. These include: (i) the effects of the means and variances of policy shocks on the equilibrium; (ii) the determinants of the foreign exchange risk premium; (iii) the relationship between net export instability and economic growth.
Book Synopsis Stochastic Equilibrium and Exchange Rate Determinaion in a Small Open Economy with Risk Averse Optimizing Agents by : Earl L. Grinols
Download or read book Stochastic Equilibrium and Exchange Rate Determinaion in a Small Open Economy with Risk Averse Optimizing Agents written by Earl L. Grinols and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Foreign Exchange Risk Premia and Welfare in a Stochastic Small Open Economy Model by : Lynne Evans
Download or read book Foreign Exchange Risk Premia and Welfare in a Stochastic Small Open Economy Model written by Lynne Evans and published by . This book was released on 2001 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper constructs a stochastic general equilibrium model of a small open economy consisting of risk-averse optimising agents with unconventional preferences. We use this model (i) to analyze the determinants of the foreign exchange rate risk premium; (ii) to explore the importance of unconventional preferences for the foreign exchange rate risk premium; and (iii) to conduct a numerical analaysis of the forex risk premium. Our model is distinguished from many of those in the literature by a number of features. Firstly, our dynamic general equilibrium model incorporates portfolio choice thereby giving rise to an integrated analysis of exchange rate determination with a risk-adjusted PPP and portfolio equilibrium. Secondly, the model includes a recursive utility function that disentangles risk aversion from intertemporal substitution thereby enabling an analysis of the distinct roles played by agents' attitudes towards risk and intertemporal substitution. Thirdly, in preference to using a two-country model, we specifically model a small open economy which takes the world interest rate as given. Fourthly, we have an exact stochastic model rather than the stochastic approximations (through Markov chains) more commonly adopted in the literature; and, fifthly, the model is constructed in continuous, not discrete, time. We find that the equilibrium forex risk premium is a function of exogenous shocks in the model and is sensitive to assumed attitudes towards risk and intertemporal substitution. Furthermore, taking plausible values for the preference parameters, together with other data-driven parameter values, the model generates a value for the forex risk premium which is close to that found in the data.
Book Synopsis Stochastic Equilibrium and Exchange Rate Determination in a Small Averse Optimizing Agents by :
Download or read book Stochastic Equilibrium and Exchange Rate Determination in a Small Averse Optimizing Agents written by and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Exchange Rate Fluctuations Under Risk Aversion and Short-run Wage Rigidity by : B. Gabriela Mundaca
Download or read book Optimal Exchange Rate Fluctuations Under Risk Aversion and Short-run Wage Rigidity written by B. Gabriela Mundaca and published by . This book was released on 1997 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis NBER Reporter by : National Bureau of Economic Research
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 1990 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of International Economics by :
Download or read book Journal of International Economics written by and published by . This book was released on 1994 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New Directions for Stochastic Open Economy Models by : Maurice Obstfeld
Download or read book New Directions for Stochastic Open Economy Models written by Maurice Obstfeld and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 1992 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Targeting the Exchange Rate by : Shula Pessach
Download or read book Targeting the Exchange Rate written by Shula Pessach and published by . This book was released on 1991 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to implement empirically a variant of the new theory of exchange rate targeting, suitable for high inflation small open economies. The theory formulates an expectations induced relationship between the exchange rate and the fundamental subject to random shocks and target zone constraints on rates of depreciation. The empirical analysis identifies the roles played by policy and market fundamentals in foreign exchange markets, and estimate the key parameters of the exchange rate dynamic equation.
Book Synopsis Dominant Currency Paradigm: A New Model for Small Open Economies by : Camila Casas
Download or read book Dominant Currency Paradigm: A New Model for Small Open Economies written by Camila Casas and published by International Monetary Fund. This book was released on 2017-11-22 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most trade is invoiced in very few currencies. Despite this, the Mundell-Fleming benchmark and its variants focus on pricing in the producer’s currency or in local currency. We model instead a ‘dominant currency paradigm’ for small open economies characterized by three features: pricing in a dominant currency; pricing complementarities, and imported input use in production. Under this paradigm: (a) the terms-of-trade is stable; (b) dominant currency exchange rate pass-through into export and import prices is high regardless of destination or origin of goods; (c) exchange rate pass-through of non-dominant currencies is small; (d) expenditure switching occurs mostly via imports, driven by the dollar exchange rate while exports respond weakly, if at all; (e) strengthening of the dominant currency relative to non-dominant ones can negatively impact global trade; (f) optimal monetary policy targets deviations from the law of one price arising from dominant currency fluctuations, in addition to the inflation and output gap. Using data from Colombia we document strong support for the dominant currency paradigm.
Book Synopsis NBER Publications by : National Bureau of Economic Research
Download or read book NBER Publications written by National Bureau of Economic Research and published by . This book was released on 1921 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing the Imports-as-market-discipline Hypothesis by : James Levinsohn
Download or read book Testing the Imports-as-market-discipline Hypothesis written by James Levinsohn and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has long been believed that international competition forces domestic firms to behave more competitively. I term this the imports-as--market-discipline hypothesis. I construct a simple static oligopoly model and estimate the model using panel data from Turkish manufacturing firms. The data span the course of a dramatic trade liberalization. Looking for changes in price-marginal cost markups as trade policy shifts, I test the imports-as-market discipline hypothesis. In all five industries to which the hypothesis is relevant, markups change in the direction predicted by the theory. These changes are statistically significant in all but one of the five industries.
Book Synopsis Exchange Rate Theory and Practice by : John F. Bilson
Download or read book Exchange Rate Theory and Practice written by John F. Bilson and published by University of Chicago Press. This book was released on 2007-12-01 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Book Synopsis Covered Interest Parity Deviations: Macrofinancial Determinants by : Mr.Eugenio M Cerutti
Download or read book Covered Interest Parity Deviations: Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Book Synopsis Debt Concentration and Secondary Market Prices by : Raquel Fernandez (Ph.D.)
Download or read book Debt Concentration and Secondary Market Prices written by Raquel Fernandez (Ph.D.) and published by . This book was released on 1991 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Japan's High Savings Rate Reaffirmed by : Robert Dekle
Download or read book Japan's High Savings Rate Reaffirmed written by Robert Dekle and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
