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。
.8) yields
Eq. (2.11)
Where , is the observed exchange rate, and the term in brackets is the exogenously-generated excess demand for domestic money, .
When is set equal to zero in Eq. (2.11) the Roper-Turnovsky model yields the following exchange market pressure formula
Eq. (2.12)
Where . Substituting into Eq. (2.11) and differentiating with respect to confirms that . Note that Roper and Turnovsky implicitly define exchange market pressure in terms of monetary units. The measure employed by Roper and Turnovsky is therefore equal to .
2.3 THE WEYMARK MODEL
This model employed is one of a small open economy in which the domestic price level is influenced by both the level of foreign prices and the exchange rate, but purchasing parity does not necessarily hold. Domestic output and foreign price level are exogenous. It is assumed that the small open economy has well-developed financial markets and that domestic and foreign assets are perfect substitutes. Domestic residents hold domestic currency for transactions purposes as well as speculative balances of foreign claims. Foreign and domestic interest rates are linked through an uncovered interest parity condition. (Diana et al. 1995)
Eq. (2.13)
Eq. (2.14)
Eq. (2.15)
Eq. (2.16)
Eq. (2.17)
Where:
= the logarithm of the money stock in period t with the superscript s and d denoting supply and demand, respectively.
= the logarithm of domestic price level in period t.
= the logarithm of real domestic output in period t.
= the logarithm of the domestic interest rate level in period t.
= the stochastic money demand disturbance in period t.
= the logarithm of the period t exchange rate expressed as the domestic currency cost of one unit of foreign currency.
where is the money multiplier in period t, is the stock of domestic credit, and is the inherited money stock in period t.
where is the stock of foreign exchange reserves in period t, with and defined as above.
= the policy authority’s time-variant response coefficient.
Asterisks are used to denote the foreign counterparts of the relevant domestic variables and the notation represents the value that rational agents expect the variable e to take on in period t+1, conditional on the information available in period t. For concreteness, it is assumed that private agents and the policy authority have access to the same information and that the exchange rate,, and the domestic interest rate,, are the only variables that domestic agents can observe contemporaneously.
Eq. (2.13) and Eq. (2.15) are standard to small open economy models in which output is assumed to be exogenous and domestic and foreign assets are free-traded perfect substitutes. Eq. (2.14) characterizes domestic prices as responsive to the level of foreign prices and to exchange rate but does not impose purchasing power parity a priori. Eq. (2.16) describes the supply of money as depending on the inherited money stock,, the change in domestic credit,, and the change in foreign exchange reserves,. Eq. (2.17) described changes in foreign exchange reserves occur as a result of the policy authority’s response to contemporaneous changes in t
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