| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9842
|
| DP9842 International Liquidity and Exchange Rate Dynamics |
| Xavier Gabaix; Matteo Maggiori
|
| 发表日期 | 2014-02-16
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding currency risk, thus impacting both the level and volatility of exchange rates. Our theory of exchange rate determination in imperfect financial markets not only rationalizes the empirical disconnect between exchange rates and traditional macroeconomic fundamentals, but also has real consequences for output and risk sharing. Exchange rates are sensitive to imbalances in financial markets and seldom perform the shock absorption role that is central to traditional theoretical macroeconomic analysis. We derive conditions under which heterodox government financial policies, such as currency interventions and taxation of capital flows, can be welfare improving. Our framework is flexible; it accommodates a number of important modeling features within an imperfect financial market model, such as non-tradables, production, money, sticky prices or wages, various forms of international pricing-to-market, and unemployment. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Capital flows
Exchange rate disconnect
Foreign exchange intervention
Limits of arbitrage
|
| URL | https://cepr.org/publications/dp9842
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538676
|
推荐引用方式
GB/T 7714 |
Xavier Gabaix,Matteo Maggiori. DP9842 International Liquidity and Exchange Rate Dynamics. 2014.
|
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