Exchange Rates and Fundamentals: A General Equilibrium Exploration
在两国一般均衡模型中检验了名义汇率近似随机游走的理论，发现市场贴现因子远小于1，且相对货币需求冲击是汇率的主要驱动因素。
Abstract Engel and West (2005) show that the observed near random‐walk behavior of nominal exchange rates is an equilibrium outcome of a partial equilibrium asset approach when economic fundamentals follow exogenous first‐order integrated processes and the discount factor approaches one. In this paper, I argue that the unit market discount factor creates a theoretical trade‐off within a two‐country general equilibrium model. The unit discount factor generates near random‐walk nominal exchange rates, but it counterfactually implies perfect consumption risk sharing and flat money demand. Bayesian posterior simulation exercises, based on post‐Bretton Woods data from Canada and the United States, reveal difficulties in reconciling the equilibrium random‐walk proposition within the canonical model; in particular, the market discount factor is identified as being much smaller than one. A relative money demand shock is identified as the main driver of nominal exchange rates.