| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10379 |
| 来源ID | Working Paper 10379 |
| A New Micro Model of Exchange Rate Dynamics | |
| Martin D.D. Evans; Richard K. Lyons | |
| 发表日期 | 2004-03-22 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We address the exchange rate determination puzzle by examining how information is aggregated in a dynamic general equilibrium (DGE) setting. Unlike other DGE macro models, which enrich either preference structures or production structures, our model enriches the information structure. The model departs from microstructure-style modeling by identifying the real activities where dispersed information originates, as well as the technology by which information is subsequently aggregated and impounded. Results relevant to the determination puzzle include: (1) persistent gaps between exchange rates and macro fundamentals, (2) excess volatility relative to macro fundamentals, (3) exchange rate movements without macro news, (4) little or no exchange rate movement when macro news occurs, and (5) a structural-economic rationale for why transaction flows perform well in accounting for monthly exchange rate changes, whereas macro variables perform poorly. Though past micro analysis has made progress on results (1) through (3), results (4) and (5) are new. Excess volatility arises in our model for a new reason: rational exchange rate errors feed back into the fundamentals that the exchange rate is trying to track. |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w10379 |
| 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/568008 |
| 推荐引用方式 GB/T 7714 | Martin D.D. Evans,Richard K. Lyons. A New Micro Model of Exchange Rate Dynamics. 2004. |
| 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 | ||
| w10379.pdf（592KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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