LIQUIDITY AND EXCHANGE-RATES
成果类型：
Article
署名作者：
GRILLI, V; ROUBINI, N
署名单位：
Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(92)90024-E
发表日期：
1992
页码：
339-352
关键词：
摘要：
We present a two-country extension of Lucas's (1988a) work on cash-in-advance constraints in asset markets. In the model there is temporary separation between the goods and asset markets, and money is used for transactions in both. We first find that the exchange rate level depends on the share of money used for asset transactions; a greater share appreciates the currency. Second, stochastic open market operations increasing the domestic bonds' supply appreciate the domestic currency. Third, the liquidity effects of bond supply shocks cause an 'excess' volatility of nominal exchange rates, even when their 'fundamental' value is constant.