高级国际金融学教程习题答案ch8ans.pdfVIP

Foundations of International Macroeconomics1 Workbook2 Maurice Obstfeld, Kenneth Rogoff, and Gita Gopinath Chapter 8 Solutions 1. First think about the continuous-time case. At time t = 0 the market believes the governmentís promise that it will peg the exchange rate at its t = T level from time T onward. In that case, we can show that the exchange rate is indeterminate, so that the governmentís policy is not coherent (in that it does not tie down a unique market equilibrium). Let perfect-foresight equilibrium be described by the continuous-time Cagan model [eq. (70) on p. 559 of the book], m = e − ηe˙ . t t t Let ea be an arbitrary time-T exchange rate and suppose the market firmly T expects that rate to prevail. Then the preceding Cagan equation, coupled with the terminal condition eT = ea , shows that the exchange rate path T e = 1 Z T exp[(t − s)/η]m ds + exp[(t − T )/η]ea t s T η t will equilibrate markets for t ∈ [0, T]. Next consider the monetary authorityís position at time T when con- fronted with this exchange rate path. The authority has no choice, in view of its vow of a constant exchange rate from T on, but to set the fundamental a a mT = eT and to hold mt = eT for all t T . Why? Were the authority to act otherwise, the exchange rate would deviate from ea at some point in the T 1By Maurice Obstfeld (