| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP20
|
| DP20 Rational Expectations and Exchange Rate Dynamics |
| Michael R. Wickens
|
| 发表日期 | 1984-06-01
|
| 出版年 | 1984
|
| 语种 | 英语
|
| 摘要 | Dornbusch's overshooting model of the exchange rate has proved a very influential alternative to the monetary model. The original Dornbusch model was specified in continuous time and assumed perfect foresight. It also imposed the restriction of a sticky price level which does not respond instantaneously to new information. While convenient for analytic purposes, this particular model is less suitable for empirical analysis in which the data are aggregated over time and expectations are not formed perfectly. This paper presents a discrete time, rational expectations version of the Dornbusch model in which the price level is permitted to respond immediately, but not necessarily fully, to new information. The resulting dynamic behaviour of the exchange rate is analysed and interpreted. The conditions under which exchange rate overshooting occurs are derived and the effect of pre-announced policy changes are studied. Although the main purpose of the paper is expositional, an interesting feature of the results is that price stickyness is shown to be neither a necessary nor a sufficient condition for a change in monetary policy to bring about exchange rate overshooting. |
| 主题 | International Macroeconomics
|
| 关键词 | Dornbusch's overshooting model
Exchange rates dynamics
|
| URL | https://cepr.org/publications/dp20
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529176
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推荐引用方式
GB/T 7714 |
Michael R. Wickens. DP20 Rational Expectations and Exchange Rate Dynamics. 1984.
|
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