G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4254
DP4254 Fiscal Policy with Agents Differing in Altruism and in Ability
Philippe Michel; Pierre Pestieau
发表日期2004-02-23
出版年2004
语种英语
摘要While empirical evidence finds only a weak relationship between nominal exchange rates and macroeconomic fundamentals, forex markets participants often attribute exchange rate movements to a macroeconomic variable. The variables that matter, however, appear to change over time and one variable is typically taken as a scapegoat. For example, the current dollar weakness appears to be caused almost exclusively by the large current account deficit, while its previous strength was explained mainly by growth differentials. In this Paper, we propose an explanation of this phenomenon in a simple monetary model of the exchange rate with noisy rational expectations, where investors have heterogeneous information on some structural parameter of the economy. In this context, there may be rational confusion about the true source of exchange rate fluctuations, so that if an unobservable variable affects the exchange rate, investors may attribute this movement to some current macroeconomic fundamental. We show that this effect applies only to variables with large imbalances. The model thus implies that the impact of macroeconomic variables on the exchange rate changes over time.
主题International Macroeconomics
关键词Heterogenous information Model uncertainty
URLhttps://cepr.org/publications/dp4254
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/533220
推荐引用方式
GB/T 7714
Philippe Michel,Pierre Pestieau. DP4254 Fiscal Policy with Agents Differing in Altruism and in Ability. 2004.
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