Money and exchange rates in the Grossman-Weiss-Rotemberg model

• 成果类型: Article
• 署名作者: Alvarez, F; Atkeson, A
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Chicago; Universidad Torcuato Di Tella; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00054-8
• 发表日期: 1997
• 页码: 619-640
• 关键词: Exchange rates; Interest rates; liquidity effect; monetary policy; Segmented markets

摘要

We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (?) highly persistent, While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior. (C) 1997 Elsevier Science B.V. All rights reserved.