Rational speculation and exchange rates

• 成果类型: Article; Proceedings Paper
• 署名作者: Duarte, M; Stockman, AC
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Richmond; University of Rochester; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.08.004
• 发表日期: 2005
• 页码: 3-29
• 关键词: Exchange rates; Risk premium; speculation; exchange rate disconnect

摘要

Models of exchange rates have typically failed to produce results consistent with the key fact that real and nominal exchange rates move in ways not closely connected to current (or past) macroeconomic variables. Models that rely on the same shocks to drive fluctuations in macroeconomic variables and exchange rates typically imply counterfactually-strong co-movements between them. We develop a model in which new information leads agents to change their rational beliefs about risk premia on foreign exchange markets. These changes in risk premia work through asset markets to cause real and nominal exchange rates to change without corresponding changes in GDP, productivity, money supplies, and other key macro variables. (C) 2004 Elsevier B.V. All rights reserved.