Risultati della ricerca
Creator: Backus, David and Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 359 Abstract:
We show that some classes of sterilized interventions have no effect on equilibrium prices or quantities. The proof does not depend on complete markets, infinitely-lived agents, Ricardian equivalence, monetary neutrality, or the law of one price. Moreover, regressions of exchange rates or interest differentials on variables measuring the currency composition of the debt may contain no information, in our theoretical economy, about the effectiveness of such interventions. Another class of interventions requires simultaneous changes in monetary and fiscal policy; their effects depend, generally, on the influence of tax distortions, government spending, and money supplies on economic behavior. We suggest that in applying the portfolio balance approach to the study of intervention, lack 01 explicit modeling of these features is a serious flaw.
Parola chiave: Foreign exchange law and legislation and Debts, external Soggetto: F31 - Foreign Exchange, F41 - Open Economy Macroeconomics, and H30 - Fiscal Policies and Behavior of Economic Agents: General
Creator: Backus, David and Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 348 Abstract:
We derive the empirical implications of a popular class of international macroeconomic models. The real economy is a stochastic exchange model with complete markets. A standard result is that cross-country risk sharing implies perfect correlation between consumption paths across countries. With mild restrictions on the endowment process ii also implies a positive correlation between net exports and output in every country. We introduce money using cash-in-advance constraints and show that the implications for real variables carry over into the monetary economy. These dichotomy and neutrality propositions generalize those in the literature to stochastic environments with heterogeneous agents, and do not require the cash-in-advance constraint to bind in every state. They imply that any correlation between the nominal exchange rate and the balance of trade can be made consistent with the theory.
Parola chiave: Government finance, Risk-sharing, Exchange rates, Cash-in-advance, and Monetary policy Soggetto: F30 - International Finance: General, E32 - Business Fluctuations; Cycles, and D46 - Value Theory
Creator: Backus, David, Gregory, Alan, and Zin, Stanley E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 429 Abstract:
We compare the statistical properties of prices of U.S. treasury bills to those generated by a theoretical dynamic exchange economy with complete markets. We show that the model can account for neither the sign nor the magnitude of average risk premiums in forward prices and holding-period returns. The economy is also incapable of generating enough variation in risk premiums to account for rejections of the expectations hypothesis with treasury bill data. These conclusions add to the growing list of empirical deficiencies of the representative agent model of asset pricing.
Parola chiave: Holding-period returns, Expectations hypothesis, Autoregressive heteroskedasticity, and Forward prices Soggetto: G12 - Asset Pricing; Trading Volume; Bond Interest Rates and C61 - Optimization Techniques; Programming Models; Dynamic Analysis