第九讲：汇率决定的扩展模型货币替代模型.ppt

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1、第九讲Currencysubstitution货币替代模型IntroductionNow,itshouldbesaidattheoutsetthatthenameissomethingofamisnomer,becauseinonerespectwhatisinvolvedhardlyamountstocurrency:weareconcernedhereexclusivelywithmoneyasastoreofvalue.Inotherwords,weignorethemeansofpaymentfunctionofmoneyandtreatitinsteadassimplyanass

2、etthathappenstocarryafixed,zerorateofinterest.IntroductionThestartingpointfortheanalysisistoconsiderthesituationofa(reasonablysophisticated)inhabitantofacountrywhereholdingforeignaswellasdomesticcurrencyisbothfeasibleandlegal.Whatwilldeterminetheproportionsofthetwocurrenciesintheagent’sportfolioof

3、non-interest-bearingassets?IntroductionTherisk-aversewealthownerwillrespondtoahigherrateofdepreciationbyraisingtheproportionofforeignmoneyinhisportfolio.Insteadofdomesticandforeignbondsasalternativestomoney,themenuofassetsisrestrictedheretothetwocurrencies.IntroductionAtthesametime,weintroducearic

4、herspecificationoftherealsector,withtwoproducts:atradedgoodwhosepriceisdeterminedinworldmarketsandanontradedgoodwhosepricedependsonlyonconditionsinthelocaleconomy.Theresultisthatchangesintherealexchangerateaffectthevalueofwealthboththrougharealbalanceeffectandoverthelongerterm,throughtheimpactofac

5、hangeinthetermsoftradeonthecurrentaccountofthebalanceofpayments.ThemodelAssumptions(1)Twogoodsareproducedinthedomesticeconomy:atradeableandanon-tradeable.(2)Thepriceofthenon-tradeable,PN,isdeterminedinthedomesticeconomybytheconditionthatthemarketfornon-tradedgoodsclearsatalltimes.(3)The(dollar)pri

6、ceofthetradeableisdeterminedexogenouslyintheinternationaleconomy.Forsimplicity,assumeitisfixedat1.0.6ItfollowsthatthesterlingpriceoftradeablesissimplyS,thepriceofadollar.(4)Portfoliochoiceisrestrictedtoonlytwoassets:non-interest-bearingcurrencyissuedeitherbythedomesticmonetaryauthority(‘pounds’)or

7、byaforeigngovernment(‘dollars’).Themodel(5)Thevalueoffinancialassetsheld(‘wealth’forshort)ismeasuredwithrespecttothetradedgood.So,wehave:W=M/S+F=m+F(9.1)where,forconvenience:m≡M/S.(6)Economicagentsenjoythebenefit