Exchange rate determination - My LIUC - lIntranet dell ：汇率的决定-我lintranet Varese -戴尔.pptVIP

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Exchange rate determination - My LIUC - lIntranet dell ：汇率的决定-我lintranet Varese -戴尔.ppt

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Exchange rate determination - My LIUC - lIntranet dell ：汇率的决定-我lintranet Varese -戴尔

Models of Exchange Rate Determination Lecture 1 IME LIUC Nov-Dec. 2003 Exchange Rates Movements Show Some Regularities Correlation between monthly changes in the exchange rate and the current account position is low Do We Have “a” Theory to Explain Exchange Rate Behaviors? No, we have several theories that try to explain empirical regularities: The PPP model, Mundell Fleming model, Monetary Model, ….. They all have limitations and indeed…. Exchange-Rate Forecasting is Difficult! There may be more forecasting of exchange rates, with less success, than almost any other economic variable. Although measures such as real interest-rate differentials, differential rates of productivity gains, and chronic external deficits are often employed to explain exchange rate behavior, none has been found to be consistently useful in forecasting exchange rates even over substantial periods of one or two years. Alan Greenspan (July 2002) The Dornbush’s model: the “overshooting” model What is the evidence for and against the model? Why is the model so famous? Quoting from Rogoff The model is “elegant”: it is the beauty and clarity of Dornbush’s analysis that has made it so flexible and useful. The model is “path breaking”: it changed our way of thinking about the exchange rate. Quoting from Krugman “Rudi was, first of all, the economist who brought international monetary economics into the modern world. The workhorse of pre-Dornbusch open-economy macro, the Mundell-Fleming model, was a fine thing.. But it didn’t capture the volatility of a floating-exchange-rate world, the way currencies can soar or plunge not because big things have already happened, but because things are expected to happen.. Rudi’s famous “overshooting” paper changed it all…” (NYT, July 26 2002) What is the model about? Two relationships lie at the hart of the model: The UIP: The money demand: How does the overshooting work? Graphically What are prices doing? Hp: Announcement in t of a p