LIQUIDITY AND REAL ACTIVITY IN A SIMPLE OPEN-ECONOMY MODEL

• 成果类型: Article
• 署名作者: SCHLAGENHAUF, DE; WRASE, JM
• 署名单位: Brigham Young University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(95)01195-T
• 发表日期: 1995
• 页码: 431-461
• 关键词: General equilibrium; exchange rate volatility; MONEY AND EXCHANGE RATES

摘要

This paper analyzes the ability of an open-economy version of Lucas's (1990) liquidity model to account for properties of international data. The focus is on the model's ability to account for exchange rate dynamics and measured effects of monetary policy shocks on exchange rates, interest rates, and real activities across countries. The model generates a prediction that a positive domestic monetary innovation is associated with nominal and real currency depreciations. However, the model's predictions with respect to nominal and real exchange rate volatilities are low.