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Abstract:

We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (3) highly persistent. While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior. © 1997 Elsevier Science B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Money and exchange rates in the Grossman-Weiss-Rotemberg model
Autor:Alvarez, F.; Atkeson, A.
Filiación:Department of Economics, University of Chicago, Chicago, IL 60637, United States
Universidad Torcuato di Tella, Buenos Aires, 1428, Argentina
Department of Economics, University of Minnesota, Minneapolis, MN 55455, United States
National Bureau of Economic Research, Cambridge, MA 02138, United States
Department of Economics, Univ. of Minnesota, 1035 Management and Economics, 271 19th Avenue South, Minneapolis, MN 55455, United States
Palabras clave:Exchange rates; Interest rates; Liquidity effect; Monetary policy; Segmented markets
Año:1997
Volumen:40
Número:3
Página de inicio:619
Página de fin:640
DOI: http://dx.doi.org/10.1016/S0304-3932(97)00054-8
Título revista:Journal of Monetary Economics
Título revista abreviado:J. Monet. Econ.
ISSN:03043932
CODEN:JMOED
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03043932_v40_n3_p619_Alvarez

Referencias:

  • Baumol, W.J., The transactions demand for cash: An inventory theoretic approach (1952) Quarterly Journal of Economics, 66, pp. 545-556
  • Baxter, M., Fisher, S.N., King, R.G., Rouwenhorst, K.G., (1991) The Liquidity Effect in General Equilibrium, , Mimeo, University of Virginia
  • Baxter, M., Stockman, A.C., Business cycles and the exchange rate regime: Some international evidence (1989) Journal of Monetary Economics, 23 (3), pp. 377-400
  • Flood, R.P., Rose, A.K., Fixing exchange rates: A virtual quest for fundamentals (1995) Journal of Monetary Economics, 36 (1), pp. 3-38
  • Fuerst, T., Liquidity, loanable funds, and real activity (1992) Journal of Monetary Economics, 29, pp. 3-24
  • Grilli, V., Roubini, N., Liquidity and exchange rates (1992) Journal of International Economics, 32, pp. 339-352
  • Grossman, S., Weiss, L., Transactions based model of the monetary transmission mechanism (1983) American Economic Review, 73, pp. 871-880
  • Jovanovic, B., Inflation and welfare in the steady state (1982) Journal of Political Economy, 90 (3), pp. 561-577
  • Lucas R.E., Jr., Liquidity and interest rates (1990) Journal of Economic Theory, 50, pp. 237-264
  • Meese, R., Rogoff, K., Empirical exchange rate models of the seventies: Do they fit out of sample? (1983) International Economic Review, 14, pp. 3-24
  • Mussa, M., Nominal exchange rate regimes and the behavior of real exchange rates (1986) Carnegie Rochester Conference Series on Public Policy, 25, pp. 117-214
  • Romer, D., A simple general equilibrium version of the Baumol Tobin model (1986) Quarterly Journal of Economics, 101 (4), pp. 663-685
  • Rotemberg, J., A monetary equilibrium with transactions costs (1984) Journal of Political Economy, 92 (1), pp. 40-58
  • Rotemberg, J., Money and the terms of trade (1985) Journal of International Economics, 19, pp. 141-160
  • Schlagenhauf, D.E., Wrase, J.M., Liquidity and real activity in a simple open economy model (1995) Journal of Monetary Economics, 35 (3), pp. 431-462
  • Tobin, J., The interest elasticity of the transactions demand for cash (1956) Review of Economics and Statistics, 38 (3), pp. 241-247

Citas:

---------- APA ----------
Alvarez, F. & Atkeson, A. (1997) . Money and exchange rates in the Grossman-Weiss-Rotemberg model. Journal of Monetary Economics, 40(3), 619-640.
http://dx.doi.org/10.1016/S0304-3932(97)00054-8
---------- CHICAGO ----------
Alvarez, F., Atkeson, A. "Money and exchange rates in the Grossman-Weiss-Rotemberg model" . Journal of Monetary Economics 40, no. 3 (1997) : 619-640.
http://dx.doi.org/10.1016/S0304-3932(97)00054-8
---------- MLA ----------
Alvarez, F., Atkeson, A. "Money and exchange rates in the Grossman-Weiss-Rotemberg model" . Journal of Monetary Economics, vol. 40, no. 3, 1997, pp. 619-640.
http://dx.doi.org/10.1016/S0304-3932(97)00054-8
---------- VANCOUVER ----------
Alvarez, F., Atkeson, A. Money and exchange rates in the Grossman-Weiss-Rotemberg model. J. Monet. Econ. 1997;40(3):619-640.
http://dx.doi.org/10.1016/S0304-3932(97)00054-8