全球智库信息集成服务系统(G2TT): DP3786 Evaluating the Employment Impact of a Mandatory Job Search Programme

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP3786
	DP3786 Evaluating the Employment Impact of a Mandatory Job Search Programme
	Richard Blundell; Costas Meghir; John Van Reenen; Monica Costa Dias
发表日期	2003-02-23
出版年	2003
语种	英语
摘要	Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal exchange rates. On the other hand, the recent ?microstructure approach to exchange rates? has shown that most exchange rate volatility at short to medium horizons is related to order flows. This suggests that investor heterogeneity might be key to understanding exchange rate dynamics, in contrast to the common representative agent approach in macroeconomic models of exchange rate determination. To explore this issue, we introduce investor heterogeneity into an otherwise standard monetary model of exchange rate determination. There are two types of heterogeneity: dispersed information about fundamentals, and non-fundamentals based heterogeneity (e.g., liquidity traders). We show that in-formation dispersion leads to magnification and endogenous persistence of the impact of non-fundamentals trade on the exchange rate, both resulting from rational confusion about the source of exchange rate fluctuations. Higher order expectations, familiar from Keynes? ?beauty contest?, partly contribute to these results. The implications of the model are consistent with the evidence on the relationship between exchange rates and fundamentals: (i) fundamentals play little role in explaining exchange rate movements in the short to medium run, (ii) over longer horizons the exchange rate is primarily driven by fundamentals, (iii) exchange rate changes are a weak predictor of future fundamentals.
主题	Financial Economics ; International Macroeconomics
关键词	Information heterogeneity Exchange rate dynamics Higher order expectations Beauty contest
URL	https://cepr.org/publications/dp3786
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/532785
推荐引用方式 GB/T 7714	Richard Blundell,Costas Meghir,John Van Reenen,et al. DP3786 Evaluating the Employment Impact of a Mandatory Job Search Programme. 2003.