| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP16301
|
| DP16301 Mussa Puzzle Redux |
| Oleg Itskhoki; Dmitry Mukhin
|
| 发表日期 | 2021-06-27
|
| 出版年 | 2021
|
| 语种 | 英语
|
| 摘要 | The Mussa (1986) puzzle is the observation of a sharp and simultaneous increase in the volatility of both nominal and real exchange rates following the end of the Bretton Woods System of pegged exchange rates in 1973. It is commonly viewed as a central piece of evidence in favor of monetary non-neutrality because it is an instance in which a change in the monetary regime caused a dramatic change in the equilibrium behavior of a real variable (the real exchange rate) and is often further interpreted as direct evidence in favor of models with nominal rigidities in price setting. This paper shows that the data do not support this latter conclusion because there was no simultaneous change in the properties of the other macro variables, nominal or real. We show that an extended set of Mussa facts equally falsifies both conventional flexible-price RBC models and sticky-price New Keynesian models as explanations for the Mussa puzzle. We present a resolution to the broader Mussa puzzle based on a model of segmented financial market — a particular type of financial friction by which the bulk of the nominal exchange rate risk is held by financial intermediaries and is not shared smoothly throughout the economy. We argue that rather than discriminating between models with sticky versus flexible prices, or monetary versus productivity shocks, the Mussa puzzle provides sharp evidence in favor of models with monetary non-neutrality arising in the financial market, suggesting the importance of monetary transmission via the risk premium channel. |
| 主题 | Economic History
; Financial Economics
; International Macroeconomics and Finance
; Monetary Economics and Fluctuations
|
| 关键词 | Exchange rate regimes
Monetary non-neutrality
Segmented financial markets
Monetary transmission mechanism
|
| URL | https://cepr.org/publications/dp16301
|
| 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/545266
|
推荐引用方式
GB/T 7714 |
Oleg Itskhoki,Dmitry Mukhin. DP16301 Mussa Puzzle Redux. 2021.
|
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