On the Asset Market View of Exchange Rates
指出，在完整资产市场中，汇率变动反映的是商品市场摩擦而非资产回报差异，对理解汇率决定机制有重要启示。
Abstract If the asset market is complete, then the difference between foreign and domestic agents’ log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate. This equation is frequently used to argue that changes in real exchange rates reflect differences between agents’ required compensation for exposure to asset return uncertainty. We show that the relative returns on frictionlessly traded assets are only reflected in the common component of agents’ IMRSs, not in differences. Instead, when this equation does offer insights, frictions in the goods market are the source of economic distinction between agents. Received December 10, 2013; editorial decision November 5, 2018 by Editor Geert Bekaert. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.