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What determines the long run nominal exchange rate?

是什么决定了长期的名义汇率？

截面研究A cross sectional study

Abstract摘要

在本文中，我们研究的长期运行的汇率变动国家的决定因素。我们的做法是通过模仿名义汇率的长期运行的动作，根据长期的通货膨胀差异和实际汇率的长期变化。我们认为，前者取决于国家的开放程度，国家规模，政治稳定，政府债务水平，央行独立性，后者取决于经济增长和贸易条件。我们实证研究结果支持上述关系。In this paper we examine the determinants of the long run movements in the exchange rates across countries. We approach this by modeling the long run movements in the nominal exchange rates as depending on the long run inflation differential and the long run change in the real exchange rate. We suggest that the former depends on factors like openness of the country, country size, political stability, the level of outstanding government debt, central bank independence and the latter depends on economic growth and terms of trade. Our empirical findings support the above relationship.

1引言

我所讨论的模式是一个轻微的背离，“什么决定了名义汇率？菲利普·R·巷的一些横截面的证据。在本文中，我将研究在名义汇率长期变化的决定因素。确定名义汇率的长期运行是很重要的。首先，对于那些对跟踪全球经济有兴趣的人来说。其次，了解什么决定了名义汇率的长期变化有助于投资者进行比较预期的回报，或是以不同货币计价的中长期名义债券。The model I'm discussing is a slight departure from the paper “What Determines the Nominal Exchange Rate? Some Cross-Sectional Evidence” byPhilip R. Lane.

In this paper I will be examining the determinants of long run change in the nominal exchange rates. Determining the long run movement in the nominal exchange rates is important for many reasons. Firstly, it is enlightening for those who are interested in tracking the global economy.Secondly,understanding of what determines the long-run changes in the nominal exchange rate is potentially helpful to investors comparing expected returns on medium- or long-term nominal bonds denominated in different currencies. Thirdly, modelling the long-run behaviour of the exchange rate is the underpinning for even analysis of the short-run behaviour of exchange rates. Finally, long-run movements in exchange rates are less prone to the 'noise' that is present in higher-frequency exchange rate data and hence may be more easily related to the fundamental determinants indicated by theory.( What Determines the Nominal Exchange Rate? Some Cross-Sectional Evidence, by Philip R. Lane, pg 2)

The model does not assume purchasing power parity as the long run nominal exchange rate is time varying. It may appreciate during the long term owing to productivity changes in the traded and non traded sectors. Also inflation rates have both long run and short run components. Long run value of inflation may also vary owing to business cycle effects and policies causing a shift in the inflation.