Can the new open economy macroeconomic model explain exchange rate fluctuations?

• 成果类型: Article
• 署名作者: Jung, Yongseung
• 署名单位: Kyung Hee University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2006.04.005
• 发表日期: 2007
• 页码: 381-408
• 关键词: exchange rate volatilities; measures of fit; New open economy macroeconomics; spectral density; Taylor rule

摘要

This paper explores the successes and failures of the new open economy macroeconomics more critically by addressing the performance of the model at all frequencies along the line of Watson's [Watson, M.W., 1993. Measures of Fit for Calibrated Models, Journal of Political Economy 101, 1011-1041] measures of fit. This paper shows that the NOEM model with either PCP or PTM is not successful in generating the spectral density of the selected variables calculated from the data. In particular, the model cannot generate mass spectra of the exchange rates at low frequencies as in the data. It shows that the NOEM model with either separable preference or incomplete asset market cannot generate the typical hump-shaped spectra of exchange rates. (c) 2007 Elsevier B.V. All rights reserved.