摘要
本文在随机一般均衡非对称两国模型中探讨了在外生冲击下,资本流动对欠发达国家汇率波动的影响。本文发现:在浮动汇率制度、资本账户开放、投资者的资产调整存在时滞等假设下,发迭国家产出波动冲击所引发的投资者资产调整可引起欠发达国家货币的升值。但如发达国家产出波动冲击也引起了欠发达国家产出波动幅度的提高,则欠发达国家货币是否升值取决于欠发达国家产出波动增大的幅度是否低于发达国家。此外,发达国家居民越重视财富和社会地位,越有可能加深欠发达国家的汇率波动幅度。
This paper examines how the assets adjustment behaviors of investors in the developed country influence nominal exchange rate volatility in less-developed country. It is found that in a risky world with flexible exchange rates, open capital account, and investors＇ lagging assets adjustment, the less- developed country would see its currency appreciate under the shock of product volatility of developed country. If the product volatility shock of developed country lead to an increase of product volatility in less-developed country, then whether the currency of less-developed country appreciates or not depends on whether the increase of product volatility in less-developed country is lower than that of developed country. Furthermore, the more investors in developed country care about wealth and social status, the more it would aggravate the exchange rate volatility of less-developed country.
出处
《财贸经济》
CSSCI
北大核心
2015年第2期45-59,共15页
Finance & Trade Economics
基金
国家社会科学基金青年项目"金融危机
资本流动与我国的经济增长"(09CJL030)
对外经济贸易大学211校级建设项目:"金融部门扩张与制造业产业竞争力研究"(XK2014119)
关键词
汇率波动
非对称两国模型
资本流动
Unsymmetrical Two-country Model, Capital Flows, Exchange Rate Volatility
