| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP567 |
| DP567 Exchange Rate Risk and Imperfect Capital Mobility in an Optimizing Macromodel | |
| Neil Rankin | |
| 发表日期 | 1991-07-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | A stochastic two-period model of a small open economy with optimizing consumption and portfolio choice is constructed. Exchange rate risk means domestic-currency bonds are imperfect substitutes for foreign-currency bonds. Expectations are rational, i.e. subjective probability distributions equal the true distributions resulting from the exogenous sources of uncertainty, which in this model are the foreign inflation rate and either the future money supply or government spending. With the former, no real risk premium exists, but increased monetary variance reduces current output, which nominal wage rigidity makes responsive to aggregate demand. With the latter source of uncertainty a premium exists, but neither the risk premium nor output is affected by an increased variance of government spending. |
| 主题 | International Macroeconomics |
| 关键词 | Exchange rate risk Imperfect capital mobility |
| URL | https://cepr.org/publications/dp567 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529723 |
| 推荐引用方式 GB/T 7714 | Neil Rankin. DP567 Exchange Rate Risk and Imperfect Capital Mobility in an Optimizing Macromodel. 1991. |
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