An Essay on the Intertemporal General Equilibrium Model of Exchange Rates in a Continuous-time Version
Author : Ki Young Chung
Publisher :
Page : 298 pages
File Size : 40,42 MB
Release : 1986
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ISBN :
Author : Ki Young Chung
Publisher :
Page : 298 pages
File Size : 40,42 MB
Release : 1986
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Author : Allan Bødskov Andersen
Publisher :
Page : 25 pages
File Size : 37,65 MB
Release : 1998
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ISBN :
Author : Allan Bødskov Andersen
Publisher :
Page : 25 pages
File Size : 13,98 MB
Release : 1998
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Author : Allan Bødskov Andersen
Publisher :
Page : 0 pages
File Size : 36,4 MB
Release : 1998
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Author : Prakash Apte
Publisher :
Page : 56 pages
File Size : 20,91 MB
Release : 1996
Category : Foreign exchange rates
ISBN :
We characterize the equilibrium exchange rate in a general equilibrium economy without imposing strong restrictions on the output processes, preferences, or commodity market imperfections. The nominal exchange rate is determined by differences in initial wealths the currencies of richer countries tend to be overvalued by PPP standards and by differences of marginal indirect utilities of total nominal spending. Changes in the exchange rate mirror differences in growth rates of real spending weighted by relative risk-aversion (which can be time-varying and can differ across countries), and in the case of non-homothetic utility functions, differences in inflation rates computed from marginal spending weights. Thus, standard regression or cointegration tests of PPP suffer from missing-variables biases and ignore variations in risk aversions across countries and over time. We also present cointegration tests of the version of the model with constant relative risk aversion (CRRA) and homothetic preferences. When nominal spending is given an independent role (next to prices) in the short-term dynamics, both PPP and the CRRA model become acceptable.
Author : Mary Grace Finn
Publisher : London : Department of Economics, University of Western Ontario
Page : 40 pages
File Size : 27,38 MB
Release : 1989
Category : Foreign exchange
ISBN : 9780771411373
Author :
Publisher :
Page : 544 pages
File Size : 27,9 MB
Release : 1998
Category : Dissertations, Academic
ISBN :
Author : Neil Rankin
Publisher :
Page : 44 pages
File Size : 18,14 MB
Release : 1987
Category : Foreign exchange
ISBN :
Author : Margarida Duarte
Publisher :
Page : 198 pages
File Size : 46,68 MB
Release : 2000
Category : Foreign exchange rates
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Author : Torsten Persson
Publisher :
Page : pages
File Size : 32,74 MB
Release : 1982
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ISBN :