Real exchange rates, preferences, and incomplete markets: evidence, 1961-2001
AbstractMany international macroeconomic models link the real exchange rate to a ratio of marginal utilities. We examine this link empirically, allowing the marginal utility of consumption to depend on government expenditure, real money balances, or external habit. We also consider two environments with incomplete asset markets; one with exogenously missing markets but an endogenous discount rate that anchors the distribution of wealth and one with endogenous market segmentation. Although none of these satisfies theoretical and over-identifying restrictions for every country, utility with external habit persistence provides the best match with real exchange rates for OECD countries between 1961 and 2001.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 37 (2004)
Issue (Month): 3 (August)
Contact details of provider:
Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Web page: http://economics.ca/cje/
More information through EDIRC
Other versions of this item:
- Allen C. Head & Todd D. Mattina & Gregor W. Smith, 2004. "Real Exchange Rates, Preferences, and Incomplete Markets: Evidence, 1961-2001," Working Papers 1246, Queen's University, Department of Economics.
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jorge Selaive & Vicente Tuesta, 2003.
"Net foreign assets and imperfect pass-through: the consumption real exchange rate anomaly,"
International Finance Discussion Papers
764, Board of Governors of the Federal Reserve System (U.S.).
- Vicente Tuesta & Jorge Selaive, 2004. "Net Foreing Assets and Imperfect Pass-through: The Consumption-Real Exchange Rate Anomaly," 2004 Meeting Papers 203, Society for Economic Dynamics.
- Charles Engel & John H. Rogers, 2008.
"Expected consumption growth from cross-country surveys: implications for assessing international capital markets,"
International Finance Discussion Papers
949, Board of Governors of the Federal Reserve System (U.S.).
- Charles Engel & John H Rogers, 2009. "Expected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital Markets," IMF Staff Papers, Palgrave Macmillan, vol. 56(3), pages 543-573, August.
- Michael B. Devereux & Gregor W. Smith & James Yetman, 2009.
"Consumption and Real Exchange Rates in Professional Forecasts,"
NBER Working Papers
14795, National Bureau of Economic Research, Inc.
- Devereux, Michael B. & Smith, Gregor W. & Yetman, James, 2012. "Consumption and real exchange rates in professional forecasts," Journal of International Economics, Elsevier, vol. 86(1), pages 33-42.
- Michael B Devereux & Gregor W Smith & James Yetman, 2009. "Consumption and real exchange rates in professional forecasts," BIS Working Papers 295, Bank for International Settlements.
- Michael B. Devereux & Gregor W. Smith & James Yetman, 2009. "Consumption and Real Exchange Rates in Professional Forecasts," Working Papers 1195, Queen's University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Prof. Werner Antweiler).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.