Exchange rate determination: The role of factor price rigidities and nontradeables

• 成果类型: Article
• 署名作者: Hau, H
• 署名单位: ESSEC Business School
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00002-1
• 发表日期: 2000
• 页码: 421-447
• 关键词: Monetary transmission; factor price rigidities; nontradeables

摘要

This paper introduces factor (labor) markets into the intertemporal monetary model of Obstfeld and Rogoff and combines this richer market structure with a new utility-independent representation of nontradeables. This allows us to explore the international monetary transmission mechanism for factor price (wage) rigidities under different degrees of macroeconomic openness. Factor price rigidities imply similar properties for the international transmission mechanism as domestic producer price rigidities. Nontradeables give raise to interesting new effects under asymmetric monetary shocks: They create short-run PPP deviations, increase exchange rate volatility relative to price level volatility and reduce (positive) consumption and (negative) output comovements. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: F3; F4.