Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

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Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

Author Info

Basak, S.
Gallmeyer, M.

Additional information is available for the following registered author(s):

Michael F. Gallmeyer

Abstract

This paper examines a continuous-time two country dynamic monetary equilibrium in which countries with possible heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via the money in the utility function. Given a price system, no-arbitrage pricing results are provided for the price of each money and the nominal exchange rate. Characterizations are provided for equilibrium prices for general time-additive preferences and non-Markovian exogenous processes.

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Publisher Info
Paper provided by Wharton School - Weiss Center for International Financial Research in its series Weiss Center Working Papers with number 98-04.

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Length: 28 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:pennif:98-04

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Paper
- Süleyman Basak & Mike Gallmeyer, . "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
- Süleyman Basak & Mike Gallmeyer, . "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 9-98, Wharton School Rodney L. White Center for Financial Research.

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange

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