Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets
分析当代理人需支付固定成本才能交易债券和货币时，货币注入如何影响利率和汇率。模型解释了预期通胀与实际利率的负相关、利率的流动性效应以及汇率的波动性。
We analyze the effects of money injections on interest rates and exchange rates when agents must pay a Baumol-Tobin-style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money infrequently. When the government injects money through an open market operation, only those agents that are currently trading absorb these injections. Through their impact on these agents' consumption, these money injections affect real interest rates and real exchange rates. The model generates the observed negative relation between expected inflation and real interest rates as well as persistent liquidity effects in interest rates and volatile and persistent exchange rates.