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北京大学国家发展研究院

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[12月7日] 国际经济学Workshop

发布日期：2021-12-01 10:05    来源：

Exchange Rate Disconnect and the General Equilibrium Puzzle

 

时间：2021年12月7日（周二）11:00-12:30am

主持人：余淼杰、余昌华

主讲人：Yu-chin Chen, University of Washington

加入Zoom会议：https://zoom.com.cn/j/92638897210?pwd=d1pkemQ3d2MrSmZLNzJmTzdCOCtBUT09

会议号：926 3889 7210

密码：908060

摘要：We conduct general equilibrium (GE) estimation of a two-country DSGE model with stochastic volatilities and limits-to-arbitrage to re-evaluate their empirical contributions in explaining US-Euro exchange rate dynamics. Instead of a disconnect, our estimates show that with third-order model approximations, shocks to macroeconomic fundamentals account for over 40% of the observed exchange rate variations. We also confirm that conditionally, both stochastic volatilities and international risk-sharing shocks can potentially resolve the UIP puzzle. However, unconditionally in GE settings, we find neither mechanism to be quantitatively sufficient in overturning the puzzle. Our results highlight the shortfalls of model linearization and partial-equilibrium simulation analyses.

主讲人简介：Yu-chin Chen is now an Associate Professor at the University of Washington, and mainly works in the fields of International Finance, Open Economy Macroeconomics, Applied Econometrics, and Trade and Development. Her representative research is published in several authorized journals, including the Quarterly Journal of Economics, the Journal of Econometrics, the Journal of International Economics, the Review of Economics and Statistics, etc.


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