A careful basic theoretical and econometric analysis of the factors determining the real exchange rates of Canada, the U.K., Japan, France and Germany with respect to the United States is conducted. The resulting conclusion is that real exchange rates are almost entirely determined by real factors relating to growth and technology such as oil and commodity prices, international allocations of world investment across countries, and underlying terms of trade changes. Unanticipated money supply shocks, calculated in five alternative ways have virtually no effects. A Blanchard-Quah VAR analysis also indicates that the effects of real shocks predominate over monetary shocks by a wide margin. The implications of these facts for the conduct of monetary policy in countries outside the U.S. are then explored leading to the conclusion that all countries, to avoid exchange rate overshooting, have tended to automatically follow the same monetary policy as the United States. The history of world monetary policy is reviewed along with the determination of real exchange rates within the Euro Area.

目录
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Part I A Theoretical Framework
2 Specifications and Assumptions . . . . . . . . . . . . . . . . . . . . . . 11
3 Underlying Equilibrium Growth Paths . . . . . . . . . . . . . . . 15
3.1 Aggregate Production and Income . . . . . . . . . . . . . . . . . . . . 15
3.2 Intertemporal Optimization: The Equilibrium Growth
Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.3 A Digression on Population Growth . . . . . . . . . . . . . . . . . . 22
3.4 Money and Output . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.5 Two Countries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
3.5.1 The Real Exchange Rate . . . . . . . . . . . . . . . . . . . . . . 36
4 Variations in Employment . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
4.1 Equilibrium in Asset and Output-Flow Markets: Closed
Economy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
4.1.1 Monetary and Real Shocks . . . . . . . . . . . . . . . . . . . . . 45
4.1.2 Monetary and Fiscal Policy . . . . . . . . . . . . . . . . . . . . 50
4.2 Small Open Economy Equilibrium . . . . . . . . . . . . . . . . . . . . 53
4.3 World Equilibrium With Two Big Countries . . . . . . . . . . . 58
4.4 Equilibrium in Common Currency Areas . . . . . . . . . . . . . . 67
4.5 More on the Determination of Risk Premiums . . . . . . . . . 68
5 Some Important Implications . . . . . . . . . . . . . . . . . . . . . . . . 71
5.1 The Real Exchange Rate and the Current and Capital
Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
5.2 Balance of Payments Disequilibria and the Current
Account . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
5.3 Monetary Policy and Interest Rates . . . . . . . . . . . . . . . . . . 79
6 Exchange Rate Overshooting . . . . . . . . . . . . . . . . . . . . . . . . . 87
6.1 The Basis for Overshooting . . . . . . . . . . . . . . . . . . . . . . . . . . 87
6.2 Two Avenues to Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . 89
6.3 Will Overshooting in Fact Occur? . . . . . . . . . . . . . . . . . . . . 93
Part II Exchange Rate Determination
7 Issues Regarding Exchange Rate Determination. . . . . . 99
7.1 General Equilibrium Issues . . . . . . . . . . . . . . . . . . . . . . . . . . 99
7.2 Exchange Rate Determination under Less-Than-
Full-Employment Conditions. . . . . . . . . . . . . . . . . . . . . . . . . 106
7.3 Exchange Rates as Asset Prices . . . . . . . . . . . . . . . . . . . . . . 108
8 Time Series Properties of Observed Exchange Rate
Movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
8.1 Stationarity vs. Non-Stationarity of Time Series . . . . . . . . 117
8.2 Testing for Stationarity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
8.3 Some Stationarity Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
9 Efficient Markets and Exchange Rate Forecasts . . . . . . 131
9.1 Covered Interest Parity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
9.2 Uncovered Interest Parity . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
10 The Role of Real Shocks in Determining Real
Exchange Rates: The Evidence . . . . . . . . . . . . . . . . . . . . . . . 157
10.1 Canada vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
10.2 United Kingdom vs. United States . . . . . . . . . . . . . . . . . . . 171
10.3 Japan vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
10.4 France vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
10.5 Germany vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . 197
10.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208
11 The Role of Money Supply Shocks in Determining
Real Exchange Rates: The Evidence . . . . . . . . . . . . . . . . . 209
11.1 Canada vs. the United States . . . . . . . . . . . . . . . . . . . . . . . . 211
11.2 United Kingdom vs. United States . . . . . . . . . . . . . . . . . . . 222
11.3 Japan vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
11.4 France vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
11.5 Germany vs. United States . . . . . . . . . . . . . . . . . . . . . . . . . . 241
11.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245
12 Further Evidence from a Blanchard-Quah VAR
Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 251
12.1 Vector Autoregression Analysis . . . . . . . . . . . . . . . . . . . . . . 251
12.2 The Blanchard-Quah Decomposition . . . . . . . . . . . . . . . . . . 255
12.3 The Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
Part III Implications for Monetary Policy
13 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269
13.1 Basic Equations and Diagrams . . . . . . . . . . . . . . . . . . . . . . . 269
13.2 Consolidated Four-Equation System . . . . . . . . . . . . . . . . . . 278
13.2.1 Flexible Price Levels: Full-Employment . . . . . . . . . . 278
13.2.2 Fixed Price Levels . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279
13.3 Formal Equilibrium Conditions . . . . . . . . . . . . . . . . . . . . . . 281
13.3.1 Rest-of-World Equilibrium . . . . . . . . . . . . . . . . . . . . . 281
13.3.2 Domestic Equilibrium With a Flexible Exchange
Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
13.3.3 Domestic Equilibrium With a Fixed Exchange
Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
13.4 Response of the Domestic Economy to Domestic and
Foreign Shocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284
14 Monetary Policy and Exchange Rates . . . . . . . . . . . . . . . . 289
14.1 Large vs. Small Open Economies . . . . . . . . . . . . . . . . . . . . . 289
14.2 Fixed vs. Flexible Exchange Rates . . . . . . . . . . . . . . . . . . . . 291
14.3 Implications for the World Monetary System . . . . . . . . . . 299
14.3.1 Foreign Exchange Crises . . . . . . . . . . . . . . . . . . . . . . . 300
14.3.2 Exchange Rate Target Zones . . . . . . . . . . . . . . . . . . . 301
14.3.3 Currency Unions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 305
15 Corroborating and Other Evidence. . . . . . . . . . . . . . . . . . . 307
15.1 The Historical Evidence Regarding Real Exchange Rates 308
15.2 International Transmission of Business Cycles and
Inflation Episodes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
15.3 The European Monetary Union . . . . . . . . . . . . . . . . . . . . . . 341
16 Conclusions and Suggestions for Future Work . . . . . . . . 359
16.1 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359
16.2 Suggestions for Future Work . . . . . . . . . . . . . . . . . . . . . . . . . 363
A Optimal Allocation of the Capital Stock Among its
Alternative Forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 365
B Derivation of the Real Exchange Rate . . . . . . . . . . . . . . . 367
C Analysis of the GG and AA Curves . . . . . . . . . . . . . . . . . . 369
D The Determination of Risk Premiums . . . . . . . . . . . . . . . . 377
E Analysis of the Forward Rate Equation . . . . . . . . . . . . . . 381
F Data Sources. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 383
F.1 Annual Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 383
F.2 Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384
F.3 Monthly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 387
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 393