Exchange Rate Volatility in an Equilibrium Asset Pricing Model
分析了一个允许资本和货币市场自由进入的随机汇率决定模型，发现模型对均衡汇率的唯一限制是满足鞅性质，这意味着汇率波动性与均衡分配的福利性质无关。
This paper analyzes a stochastic model of exchange rate determination with unrestricted access to capital and currency markets. It is shown that the only restriction imposed by the model on the equilibrium exchange rate is that it satisfy a martingale property. This implies that, for a given real equilibrium allocation (which is optimal), the model can display varying amounts of exchange rate volatility, and that volatility is unrelated to the welfare properties of the equilibrium allocation. Whether or not volatility is excessive therefore depends on which equilibrium is chosen as the basis for comparison. Copyright 1990 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.