Real exchange rate dynamics revisited: A case with financial market imperfections

研究成果: Article査読

3 被引用数 (Scopus)

抄録

In this paper, we investigate the relationship between real exchange rate dynamics and financial market imperfections. For this purpose, we first construct a New Open Economy Macroeconomics (NOEM) model that incorporates staggered loan contracts as a simple form of the financial market imperfections. Our model with such a financial market friction replicates persistent, volatile, and realistic hump-shaped responses of real exchange rates, which have been thought very difficult to materialize in standard NOEM models. Remarkably, these realistic responses can materialize even with both supply and demand shocks, such as cost-push, loan rate, and monetary policy shocks. This implies that the financial market development is a key element for understanding real exchange rate dynamics.

本文言語English
ページ(範囲)1562-1589
ページ数28
ジャーナルJournal of International Money and Finance
30
7
DOI
出版ステータスPublished - 2011 11
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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