Real Exchange Rate Dynamics Beyond Business Cycles
利用英美200年数据，发现实际汇率与GDP共同变动，且银行危机显著影响这种关系；通过扩展的IRBC模型和全球求解方法，揭示了生产率冲击的传导取决于国家接近国际借贷限制的程度。
We examine the determinants of medium-term movements in real exchange rates. Using US-UK data over the past 200 years, we find that the real exchange rate co-moves with GDP and the co-movements are significantly affected by banking crises. This relationship can be rationalized by an extension of the IRBC model with persistent productivity shocks and incomplete markets. Using a new global solution method, we demonstrate that the transmission of productivity shocks depends critically on the proximity of a national economy to its international borrowing limit. The mechanism differs from the Harrod-Balassa-Samuelson effect which does not generate these state dependent responses.