New directions for stochastic open economy models

• 成果类型: Article
• 署名作者: Obstfeld, M; Rogoff, K
• 署名单位: University of California System; University of California Berkeley; Harvard University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00034-3
• 发表日期: 2000
• 页码: 117-153
• 关键词: new open-economy macroeconomics; Currency risk; pricing to market; international policy transmission; optimal monetary policy

摘要

The paper develops a simple stochastic new open economy macroeconomic model based on sticky nominal wages. Explicit solution of the wage-setting problem under uncertainty allows one to analyze the effects of the monetary regime on welfare, expected output, and the expected terms of trade. Despite the potential interplay between imperfections due to sticky wages and monopoly, the optimal monetary policy rule has a closed-form solution. To motivate our model, we show that observed correlations between terms of trade and exchange rates are more consistent with our traditional assumptions about nominal rigidities than with a popular alternative based on local-currency pricing. (C) 2000 Elsevier Science B.V. All rights reserved.