Difference-equations solution of exchange rate dynamics

Hiroya Akiba

研究成果: Article

1 引用 (Scopus)

抜粋

The paper focuses on an appropriate and consistent theoretical as well as empirical model of the rational-expectations version of the asset-market approach to exchange rate determination. Using a "sticky-price" monetary model, and formulating the model by a difference-equations system, explicit solutions are obtained as functions of forcing variables extending to past dates only. This "backward-looking" characteristic of the solution is in stark contrast to conventional "forward-looking" models, and alleviates empirical investigation because of the need for past data only. This discrete dynamic model is superior to the corresponding continuous model, because its solutions neither exhibit the empirically unfounded "overshooting" behavior, nor have saddle-point (in)stability. Rather, the exchange rate is shown to follow an oscillatory path with asymptotic stability, and this seems to replicate the actual movements closely approximated by a random-walk process.

元の言語English
ページ(範囲)237-249
ページ数13
ジャーナルReview of International Economics
10
発行部数2
出版物ステータスPublished - 2002
外部発表Yes

    フィンガープリント

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Development

これを引用