How well can the New Open Economy Macroeconomics explain the exchange rate and current account?

被引:84
作者
Bergin, Paul R.
机构
[1] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA
[2] NBER, Cambridge, MA 02138 USA
基金
美国国家科学基金会;
关键词
New Open Economy Macroeconomics; estimation; interest rate parity;
D O I
10.1016/j.jimonfin.2006.04.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper advances the New Open Economy Macroeconomic literature in an empirical direction, estimating and testing a two-country model. Fit to U.S. and G7 data, the model performs moderately well for the exchange rate and current account. Results offer guidance for future theoretical work. Parameter estimates lend support to the assumption of local currency pricing. Estimates are found for key parameters commonly calibrated in the theoretical literature, such as the elasticity of substitution between home and foreign composite goods, and the response of a country's risk premium to the net foreign asset position. Results also indicate that deviations from interest rate parity are not closely related to monetary policy shocks, as recently hypothesized, but that these deviations are strongly related to shifts in the current account. (c) 2006 Elsevier Ltd. All rights reserved.
引用
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页码:675 / 701
页数:27
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