摘要:本文是一篇回顾金融流量控制经济学论文,自从布雷顿森林体系的崩溃以及随后短暂的自由浮动汇率尝试后,国际货币安排一直是以各种各样的中间汇率制度为特色的。尽管存在大量关注汇率系统的投机性攻击管理的脆弱性的分析文学,汇率危机的实证研究很少。令人惊讶的是,实证研究的不足最明显的原因是在国际货币市场,可以用来描述的条件缺乏公认的汇总统计。
able in their estimations in order to allow for changes in intervention policy over the sample period. The study of Roper and Turnovsky focused on optimal stabilization policy in a small open economy. They formulated their problem in terms of the policy authority’s optimal response to changes in exchange market pressure.
Diana N. Weymark apply the formulae derived by Girton and Roper and Turnovsky as a point of departure for developing a general approach to measuring exchange market pressure. (Diana N. Weymark, 1998) Specifically, Weymark construct model-dependent exchange market pressure indices based on general, model-dependent definition of the concept of exchange market pressure. In any model in which the demand for domestic currency responds contemporaneously to exchange rate changes, the definition generates a model-specific functional relationship between exchange market pressure and observed changes in both the exchange rate and the components of the monetary base used to implement intervention policy. A small open economy model with rational expectations is used to illustrate this method of model-consistent measures of exchange market pressure.
2.2 THE GIRTON-ROPER MODEL
The small open economy version of the model that Girton and Roper (Girton, 1977) employed can be expressed in logarithm as:
Eq. (2.1)
Eq. (2.2)
Eq. (2.3)
Eq. (2.4)
Where is the logarithm of the nominal domestic money supply, is the percentage change in domestic credit, is the percentage change in foreign exchange reserves, is the logarithm of the demand for nominal domestic money balances, is logarithm price of traded goods, is logarithm of output, is the logarithm domestic nominal interest rate, is the logarithm foreign interest rate level, is the logarithm of nominal exchange rate that domestic currency cost of one unit of foreign currency. is the change in the uncovered interest rate different, is the deviation from purchasing power parity.
The money market equilibrium condition, yields the following relationship between reserve and exchange rate changes
Eq. (2.5)
In Eq. (2.5), is the observed exchange change and the term in brackets is the exogenously-generated excess demand for domestic currency, . In the absence of intervention, =0 and . The measure of external imbalance generated by the Girton- Roper model is therefore
Eq. (2.6)
With . Taking the partial derivative of Eq. (2.5) with respect to confirms that .
2.3 THE ROPER-TURNOVSKY MODEL
Roper-Turnovsky employed a stochastic small open economy IS-LM model. (Roper, 1980) The Roper-Turnovsky model, expressed in terms of changes over time, is describe by Eq. (2.7)-Eq. (2.10)
Eq. (2.7)
Eq. (2.8)
Eq. (2.9)
Eq. (2.10)
Where , and are stochastic disturbances that have zero means, known variances, and are independently distributed over time.
Eq. (2.10) indicates that Roper-Turnovsky regard all domestic credit changes as a form of exchange market intervention. In their views, is not a component of so that it is the relationship between and rather than the relationship between and that is relevant to the calculation of exchange market pressure. Substituting Eq. (2.7), Eq. (2.9) and Eq. (2.10) into Eq. (2
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