An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information
AbstractThis paper presents a two-country model with maximizing households, stochastic production, stochastic money growth, and perfect capital mobility. Because of the presence of nontraded goods, households in different countries consume different goods. Analytic solutions are presented for the nominal exchange rate, the real exchange rate, nominal interest rates, and real interest rates. It is shown that the model is compatible with some important features of the real-world behavior of exchange rates. When households are imperfectly informed about the distribution of money growth, the exchange rate exhibits patterns of overshooting and is more volatile than the ratio of the money stocks. Copyright 1987 by University of Chicago Press.
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 University of Chicago Press in its journal Journal of Political Economy.
Volume (Year): 95 (1987)
Issue (Month): 5 (October)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JPE/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If references are entirely missing, you can add them using this form.