On the Asset Market View of Exchange Rates

• 成果类型: Article
• 署名作者: Burnside, A. Craig; Graveline, Jeremy J.
• 署名单位: Duke University; University of Glasgow; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz049
• 发表日期: 2020
• 页码: 239
• 关键词: long-run; FOREIGN-CURRENCY; RISK; monetary; consumption; explanation; DYNAMICS; payments; balance; models

摘要

If the asset market is complete, then the difference between foreign and domestic agents' log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate. This equation is frequently used to argue that changes in real exchange rates reflect differences between agents' required compensation for exposure to asset return uncertainty. We show that the relative returns on frictionlessly traded assets are only reflected in the common component of agents' IMRSs, not in differences. Instead, when this equation does offer insights, frictions in the goods market are the source of economic distinction between agents.