| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5748 |
| 来源ID | Working Paper 5748 |
| The Equilibrium Approach to Exchange Rates: Theory and Tests | |
| Prakash Apte; Piet Sercu; Raman Uppal | |
| 发表日期 | 1996-09-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | We characterize the equilibrium exchange rate in a general equilibrium economy without imposing strong restrictions on the output processes, preferences, or commodity market imperfections. The nominal exchange rate is determined by differences in initial wealths the currencies of richer countries tend to be overvalued by PPP standards and by differences of marginal indirect utilities of total nominal spending. Changes in the exchange rate mirror differences in growth rates of real spending weighted by relative risk-aversion (which can be time-varying and can differ across countries), and in the case of non-homothetic utility functions, differences in inflation rates computed from marginal spending weights. Thus, standard regression or cointegration tests of PPP suffer from missing-variables biases and ignore variations in risk aversions across countries and over time. We also present cointegration tests of the version of the model with constant relative risk aversion (CRRA) and homothetic preferences. When nominal spending is given an independent role (next to prices) in the short-term dynamics, both PPP and the CRRA model become acceptable. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w5748 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563236 |
| 推荐引用方式 GB/T 7714 | Prakash Apte,Piet Sercu,Raman Uppal. The Equilibrium Approach to Exchange Rates: Theory and Tests. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5748.pdf（1890KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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