G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w5748
来源IDWorking 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
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Prakash Apte]的文章
[Piet Sercu]的文章
[Raman Uppal]的文章
百度学术
百度学术中相似的文章
[Prakash Apte]的文章
[Piet Sercu]的文章
[Raman Uppal]的文章
必应学术
必应学术中相似的文章
[Prakash Apte]的文章
[Piet Sercu]的文章
[Raman Uppal]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w5748.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。