| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10744 |
| DP10744 Not so Disconnected: Exchange Rates and the Capital Stock | |
| Tarek Hassan; Thomas M. Mertens; Tony Zhang | |
| 发表日期 | 2015-08-02 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We investigate the link between stochastic properties of exchange rates and differences in capital-output ratios across industrialized countries. To this end, we endogenize capital accumulation within a standard model of exchange rate determination with nontraded goods. The model predicts that currencies of countries that are more systemic for the world economy (countries that face particularly volatile shocks or account for a large share of world GDP) appreciate when the price of traded goods in word markets is high. These currencies are better hedges against consumption risk faced by international investors because they appreciate in ``bad'' states of the world. As a consequence, more systemic countries face a lower cost of capital and accumulate more capital per worker. We estimate our model using data from seven industrialized countries with freely floating exchange rate regimes between 1984-2010 and show that cross-country variation in the stochastic properties of exchange rates accounts for 72% of the cross-country variation in capital-output ratios. In this sense, the stochastic properties of exchange rates map to fundamentals in the way predicted by the model. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations ; Macroeconomics and Growth |
| 关键词 | Capital accumulation Exchange rate disconnect International capital flows |
| URL | https://cepr.org/publications/dp10744 |
| 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/539575 |
| 推荐引用方式 GB/T 7714 | Tarek Hassan,Thomas M. Mertens,Tony Zhang. DP10744 Not so Disconnected: Exchange Rates and the Capital Stock. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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