Exchange Rate Expectations and Interest Rate Differentials
回应Mirus对作者先前论文的批评，讨论利率和即期汇率的内生性如何影响远期外汇市场套利和投机行为的识别，并指出Mirus方程中的问题。
The essence of Mirus' (1980) argument is that the endogeneity of interest rates and the spot exchange rate undermine the official forward position as an identifying restriction on the absolute slopes of the arbitrage (a) and speculation (,B) schedules in the market for forward exchange. My explicit assumption (on page 137) was that the spot exchange rate is indeed endogenous, which was why instrumental variables estimation was necessary. However, unlike Mirus, I assumed that the interest rates were largely predetermined on the grounds that monetary flows are large relative to overseas financial flows, i.e., the capital account is the tail and the domestic financial market is the dog. Thus I allowed only for the endogeneity of S, and insofar as r and ru. should have been endogenized too, Mirus' criticism is correct in principle. I doubt, however, whether in the U.K. case this makes much difference since Hutton (1977) reports that recognizing the endogeneity of r makes little difference. Even if we were to accept Mirus' argument I am not sure that his equation (1) is correct for a number of reasons. First, he implies that X is an extra parameter when as we shall see it is in fact a function of the parameters of the model I described in my paper. Thus no new parameters have to be identified econometrically. Secondly, if the expected return on forward speculation rises, i.e., if Se rises relative to F, why does Mirus assume that it is both interest rates and exchange rates that adjust and not the exchange rate alone? Thirdly, it is difficult to interpret his equation (1) when X = 1 which might be taken as the case of perfect capital mobility. In a small open economy ru. may be taken as exogenous. However, if we endogenize r and S on a common basis, as Mirus in fact does, we may use my original model to derive the correct reduced form relationship between F, Se and G. Equation (2) expressed the market clearing forward rate as