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A Possible Explanation of the 'Exchange Rate Disconnect Puzzle': A Common Solution to Three Major Macroeconomic Puzzles?
https://agi.repo.nii.ac.jp/records/134
https://agi.repo.nii.ac.jp/records/134b1373df8-4100-4149-adde-d5a2702d5284
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
WP2016-15 (202.7 kB)
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| Item type | ワーキングペーパー/Working Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2016-08-15 | |||||
| タイトル | ||||||
| タイトル | A Possible Explanation of the 'Exchange Rate Disconnect Puzzle': A Common Solution to Three Major Macroeconomic Puzzles? | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Exchange Rate Disconnect Puzzle | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | exchange rate determination | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | exchange rate volatility | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Feldstein‐Horioka puzzle or paradox | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | financial market integration | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | goods market integration | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | international capital flows | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | international capital mobility | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | net transfers of capital | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | net transfers of capital | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | PPP puzzle | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | purchasing power parity puzzle | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | real interest rate equalisation | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | real interest rate parity | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_8042 | |||||
| 資源タイプ | working paper | |||||
| 著者 |
ホリオカ, チャールズ・ユウジ
× ホリオカ, チャールズ・ユウジ× Ford, Nicholas |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so‐called “Exchange Rate Disconnect Puzzle” arose because researchers such as Meese and Rogoff (1983) did not use the right fundamentals and because they did not allow for the forward‐looking nature of exchange rate determination. Further, because they apparently were not aware that financial markets by themselves could not equalise interest rates across countries, they did not properly appreciate that the exchange rate is strongly influenced by agents’ expectations of aggregated differences in local returns. Thus, we believe that the same underlying explanation provided by Ford (2015) and Ford and Horioka (2016a and 2016b) for the Feldstein‐Horioka (1980) Puzzle and the PPP Puzzle‐‐namely that financial markets alone cannot achieve net transfers of financial capital and cannot equalise real interest rates across countries‐‐also helps explain why previous attempts to connect changes in the exchange rate to economic fundamentals have not been successful, and so can also be said to contribute to solving the Exchange Rate Disconnect Puzzle. | |||||
| 言語 | en | |||||
| 書誌情報 |
AGI Working Paper Series en : AGI Working Paper Series 巻 2016-15, p. 1-5, 発行日 2016-07 |
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| 著者版フラグ | ||||||
| 出版タイプ | NA | |||||
| 出版タイプResource | http://purl.org/coar/version/c_be7fb7dd8ff6fe43 | |||||
| JEL分類コード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classification: F21, F31, F32, F36, G15 | |||||
