Money and exchange rates in the Grossman-Weiss-Rotemberg model

被引：23

作者：

Alvarez, F

Atkeson, A

机构：

[1] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA

[2] Univ Chicago, Dept Econ, Chicago, IL 60637 USA

[3] Univ Torcuato Tella, RA-1428 Buenos Aires, DF, Argentina

[4] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 1997年 / 40卷 / 03期

基金：

美国国家科学基金会;

关键词：

exchange rates; interest rates; liquidity effect; monetary policy; segmented markets;

D O I：

10.1016/S0304-3932(97)00054-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (?) highly persistent, While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior. (C) 1997 Elsevier Science B.V. All rights reserved.

引用

页码：619 / 640

页数：22

共 16 条

[1] THE TRANSACTIONS DEMAND FOR CASH: AN INVENTORY THEORETIC APPROACH [J].