An Intermediation-Based Model of Exchange Rates

• 成果类型: Article
• 署名作者: Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Bank for International Settlements (BIS); Shanghai University of Finance & Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf037
• 发表日期: 2025
• 页码: 2386
• 关键词: switching costs; asset prices; RISK; liquidity; TRADE; deviations; MARKETS

摘要

We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, intermediaries' market power breaks monetary neutrality and makes international risk-sharing inefficient. Despite having zero net positions, markups charged by intermediaries significantly distort international asset prices, affecting exchange rate dynamics and their response to shocks. Our model can reproduce patterns consistent with several well-known exchange rate puzzles, such as deviations from uncovered and covered interest parity. All equilibrium quantities are derived in closed form, allowing us to pin down the underlying economic mechanisms explicitly.