EXCHANGE-RATE DETERMINATION AND ASSET PRICES IN A STOCHASTIC SMALL OPEN-ECONOMY
成果类型：
Article
署名作者：
GRINOLS, EL; TURNOVSKY, SJ
署名单位：
University of Washington; University of Washington Seattle; University of Illinois System; University of Illinois Urbana-Champaign
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(94)90058-2
发表日期：
1994
页码：
75-97
关键词：
摘要：
This paper constructs a stochastic general equilibrium model of a small open economy consisting of risk-averse optimizing agents. The stochastic processes describing the rate of monetary growth, government expenditure, private production, and the foreign price level are taken to be exogenous, determining all asset risks and returns, and the equilibrium stochastic process describing the domestic inflation rate and the exchange rate. The model is used to examine the effects of the means and variances of policy shocks on the equilibrium and the determinants of the foreign exchange risk premium.