On the unstable relationship between exchange rates and macroeconomic fundamentals

• 成果类型: Article
• 署名作者: Bacchetta, Philippe; van Wincoop, Eric
• 署名单位: University of Lausanne; University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2013.06.001
• 发表日期: 2013
• 页码: 18-26
• 关键词: imperfect information; Time-varying parameters; parameter uncertainty

摘要

Survey evidence shows that the relationship between the exchange rate and macro fundamentals is perceived to be highly unstable. We argue that this unstable relationship naturally develops when structural parameters in the economy are unknown. We show that the reduced form relationship between exchange rates and fundamentals is then driven not by the structural parameters themselves, but rather by expectations of these parameters. These expectations can vary significantly over time as a result of perfectly rational scapegoat effects. These effects can be expected to hold more broadly in macro and finance beyond the application to exchange rates in this paper. (C) 2013 Elsevier B.V. All rights reserved.