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Определения равновесного валютного курса.

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Определения равновесного валютного курса.

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If this were not the case, then investors would have more incentive to purchase New Zealand assets, driving the New Zealand spot exchange rate up (or the New Zealand interest rate down). UIP can be expressed algebraically as follows:
E (s ) s i i u t t t t t − = − + + ,
where
= t i domestic interest rate
* =
t i an equivalent foreign interest rate
t E denotes an expectation at time t, and
u = the risk premium associated with holding New Zealand dollar assets.
The rejection of PPP and UIP, individually, by many studies may be due to a systematic relationship between the two conditions. Since PPP and UIP are supposed to hold simultaneously, this subsection proposes a scheme for combining PPP and UIP in a single equation framework, based on Choy (2000).
3. A micro model of exchange rate dynamics
The model shows that richer, more realistic information structures produce an exchange rate that aligns closely with empirical facts. For the determination puzzle in particular, relevant results include: (1) persistent gaps between exchange rates and fundamentals, (2) excess volatility relative to fundamentals, (3) exchange rate movements without macro news, and (4) little or no exchange rate movement when macro news occurs.
Intuition for these results is as follows. Persistent gaps between exchange rates and fundamentals arise because the underlying state of fundamentals–which corresponds to the union of all information sets–is revealed only gradually. Excess volatility occurs because real allocations are distorted by rational exchange rate errors–an “embedding effect”; these distorted real allocations induce additional volatility in exchange rates. (Note that past micro models cannot produce excess volatility from this source since they do not permit feedback from information and exchange rates back to real fundamentals.) Exchange rates move without macro news because microeconomic actions–in particular, trades–convey information, even when public macro news is not present. There may be no impact on exchange rates from macro news if prior microeconomic aggregation of information renders that news redundant.
The world is populated by a continuum of infinitely-lived agents indexed by z [0, 1] who are evenly split between the home country (i.e., for z [0, 1/2)) and foreign country (z [1/2, 1]). For concreteness, we refer to the home country as the US and the foreign country as the UK. Preferences for the z’th agent are given by the formula where 0 < β < 1 is the discount factor, and U (.) is a concave sub-utility function, which we specialize to log (which exhibits constant relative risk aversion, CRRA).
All agents have identical preferences over the consumption of US goods Ct,z and UK goods ˆ Ct,z . Et,z denotes expectations conditioned on agent z’s information set at time t, Ωt,z . Et denotes expectations conditioned on common time-t information (i.e., Ωt ≡ ∩z [0,1]Ωt,z).
Decision-making in the model takes place at two frequencies. Consumption-savings decisions take place at a lower frequency than financial decision-making (where the latter includes determination of asset prices and reallocation of portfolios via trading). To implement this idea, we split each “month” t into four periods Consumption-savings decisions are made “monthly,” while financial decisions are made periodically within the month. As will become clear, the use of the term “month” is nothing more than a convenient label: the economic intuition developed by the model is exactly the same if we replaced “month” t by some other consumption-relevant period. That said, let us now describe the structure of the model by considering the “monthly” sequence of four events.
Conclusion
The discussion on the economic consequences of (changes in) exchange rates first focuses on their impact on the current account.
Economists have developed a number methodologies for assessing equilibrium exchange rates. Each methodology involves conceptual simplifications and/or imprecise estimates of key parameters; and different methodologies sometimes generate markedly different quantitative estimates of equilibrium exchange rates. This makes it difficult to place much confidence in estimates derived from any single methodology on its own. By the same token, it suggests that, ideally, policymakers should inform their judgments through the application of several different methodologies.
The model shows that richer, more realistic information structures produce an exchange rate that aligns closely with empirical facts. For the determination puzzle in particular, relevant results include: (1) persistent gaps between exchange rates and fundamentals, (2) excess volatility relative to fundamentals, (3) exchange rate movements without macro news, and (4) little or no exchange rate movement when macro news occurs.
Intuition for these results is as follows. Persistent gaps between exchange rates and fundamentals arise because the underlying state of fundamentals–which corresponds to the union of all information sets–is revealed only gradually. Excess volatility occurs because real allocations are distorted by rational exchange rate errors–an “embedding effect”; these distorted real allocations induce additional volatility in exchange rates. (Note that past micro models cannot produce excess volatility from this source since they do not permit feedback from information and exchange rates back to real fundamentals.) Exchange rates move without macro news because microeconomic actions–in particular, trades–convey information, even when public macro news is not present. There may be no impact on exchange rates from macro news if prior microeconomic aggregation of information renders that news redundant.
Bibliography
1. Baillie, R.T., and Pecchenino, R.A., (1991), “The Search for Equilibrium Relationships in International Finance: the Case of Monetary Model”, Journal of International Money and Finance, Vol. 10, pp. 582-593.
2. Bayoumi, T., Clark, P., Symansky, S., and Taylor, M., (1994), ed. J. Williamson, Estimating Equilibrium Exchange Rates, Institute for International Economics, Washington, D.C.
3. Bordo M. Exchange Rate Regimes for the Twenty–First Century: An Historical Perspective. — Exchange Rate Regimes Past, Present and Future. Working Paper 92. — Österreichische Nationalbank, 2004.
4. Breuer, J.B. and Lippert, A.F., (1997), “Internal Relative Price Stationarity in Long-Run Purchasing Power Parity”, Review of International Economics, Vol. 5(2), pp. 195-203.
5. Chinn, Menzie D. (2007). "Interest Parity Conditions". In Reinert, Kenneth A.. Princeton Encyclopedia of the World Economy. Princeton, NJ: Princeton University Press.
6. Dolan, E. J., KèmpbellK. D., KèmpbellR. J. Money, banking and monetary Poli-tick. -Saint-Petersburg, 1994. — Chapter. 22.
7. Kireyev A. Macroeconomics. — М., 1998. — H. P.-Ch. 1.2.
8. Madura, Jeff (2007). International Financial Management: Abridged 8th Edition. Mason, OH: Thomson South-Western.
9. Menzie D. Chinn The Rehabilitation of Interest Rate Parity in the Floating Rate Era Longer Horizons, Alternative Expectations, and Emerging Markets// http://www.ssc.wisc.edu/~mchinn/uipsurvey_jan05.pdf
10. Money and Foreign Exchange After 1914 (New York: Constable & Co.).
11. Qureshi M.S., Tsangarides C. The Empirics of Exchange Rate Regimes and Trade: Words vs. Deeds. — IMF Working Paper. 
12. Reza Y. Siregar The Concepts of Equilibrium Exchange Rate: A Survey of Literature Staff Paper No. 81 The South East Asian Central Banks (SEACEN) Research and Training Centre (The SEACEN Centre) Kuala Lumpur, Malaysia
13. The International Monetary Fund. — Official Web site. — IMF, 2012.
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Список литературы [ всего 13]

Bibliography
1. Baillie, R.T., and Pecchenino, R.A., (1991), “The Search for Equilibrium Relationships in International Finance: the Case of Monetary Model”, Journal of International Money and Finance, Vol. 10, pp. 582-593.
2. Bayoumi, T., Clark, P., Symansky, S., and Taylor, M., (1994), ed. J. Williamson, Estimating Equilibrium Exchange Rates, Institute for International Economics, Washington, D.C.
3. Bordo M. Exchange Rate Regimes for the Twenty–First Century: An Historical Perspective. — Exchange Rate Regimes Past, Present and Future. Working Paper 92. — Osterreichische Nationalbank, 2004.
4. Breuer, J.B. and Lippert, A.F., (1997), “Internal Relative Price Stationarity in Long-Run Purchasing Power Parity”, Review of International Economics, Vol. 5(2), pp. 195-203.
5. Chinn, Menzie D. (2007). "Interest Parity Conditions". In Reinert, Kenneth A.. Princeton Encyclopedia of the World Economy. Princeton, NJ: Princeton University Press.
6. Dolan, E. J., KempbellK. D., KempbellR. J. Money, banking and monetary Poli-tick. -Saint-Petersburg, 1994. — Chapter. 22.
7. Kireyev A. Macroeconomics. — М., 1998. — H. P.-Ch. 1.2.
8. Madura, Jeff (2007). International Financial Management: Abridged 8th Edition. Mason, OH: Thomson South-Western.
9. Menzie D. Chinn The Rehabilitation of Interest Rate Parity in the Floating Rate Era Longer Horizons, Alternative Expectations, and Emerging Markets// http://www.ssc.wisc.edu/~mchinn/uipsurvey_jan05.pdf
10. Money and Foreign Exchange After 1914 (New York: Constable & Co.).
11. Qureshi M.S., Tsangarides C. The Empirics of Exchange Rate Regimes and Trade: Words vs. Deeds. — IMF Working Paper.
12. Reza Y. Siregar The Concepts of Equilibrium Exchange Rate: A Survey of Literature Staff Paper No. 81 The South East Asian Central Banks (SEACEN) Research and Training Centre (The SEACEN Centre) Kuala Lumpur, Malaysia
13. The International Monetary Fund. — Official Web site. — IMF, 2012.
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