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作者：KING, RG; WALLACE, N; WEBER, WE
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：This paper shows that there can be equilibria in which exchange rates display randomness unrelated to fundamentals. This is demonstrated in the context of a two-currency, one-good model, with three agent types and cash-in-advance constraints. A crucial feature is that the type i agents, for i = 1, 2, must satisfy a cash-in-advance constraint by holding currency i, while type 3 agents can satisfy it by holding either currency. It is shown that real allocations vary across the multiple equilibri...
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作者：RAFF, H
摘要：Incomplete information about a multinational enterprise's (MNE's) technology may induce a host country to expropriate the MNE's subsidiary even if other policy instruments are available. The threat of expropriation does not always deter foreign direct investment so that expropriation may actually occur with nonzero probability. Perfect sequential equilibria are derived for vertically and for horizontally integrated MNEs. The model provides predictions regarding the probability of expropriation...
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作者：GLEN, JD
摘要：This paper uses long-horizon autocorrelations and variance ratio statistics to test for long-term mean reversion in real exchange rates. Unlike most previous tests of this hypothesis, the tests do reject a random walk for monthly data in the post-Bretton Woods era; however, the statistics indicate that positively-correlated innovations, rather than mean reversion, are the source of the rejection. Tests using annual data for the twentieth century also reject the random walk. In this case, howev...
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作者：BAYOUMI, T
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作者：AW, BY
摘要：This paper develops an empirical model to allow for imperfect competition in the market for traded goods. A simultaneous equation model incorporating the demand for and supply of Taiwanese footwear exports to the United States is specified and estimated. The model allows the identification of two separate sources of mark-ups in export prices. The first comes from the U.S.-imposed quantitative restriction on these exports. The second comes from imperfect competition in the international market ...
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作者：GUIDOTTI, PE; VEGH, CA
摘要：This paper studies the international transmission of monetary and fiscal disturbances under capital controls. The results are contrasted with those that obtain under perfect capital mobility. Under perfect capital mobility, permanent and unanticipated changes in domestic fiscal and monetary policies have no real effects abroad and the adjustment is instantaneous. In contrast, under capital controls, these disturbances are transmitted abroad and adjustment occurs only over time. The dynamic adj...
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作者：BAYOUMI, T
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作者：BAYOUMI, T
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作者：BRECHER, RA
摘要：This paper develops an efficiency-wage model of involuntary unemployment in a small open economy, which uses two factors to produce three goods, one of which is (non-traded) monitoring aimed at reducing shirking by workers in all industries. The analysis shows how a tariff on imports may lower employment but, paradoxically, raise social welfare at the same time. As the paper also demonstrates, the optimal policy combination includes not only taxes on capital and monitoring as well as a subsidy...
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作者：KORAJCZYK, RA; VIALLET, CJ
作者单位：INSEAD Business School
摘要：We investigate the relation between the risk premia observed in forward foreign exchange markets and international equity markets using the Arbitrage Pricing Theory. If returns on well-diversified equity portfolios explain movements in agents' intertemporal marginal rate of substitution, then the time variation in forward risk premia should be explained by the forward contract's sensitivity to the equity portfolios and the time variation in the risk premia of those portfolios. We find that equ...
