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国际经济学workshop: Exchange Rate Models are Better than You Think, and Why They Didn't Work in the Old Days
发布日期：2024-06-04 12:00 来源：
主讲人：Steve Pak Yeung WU（University of California, San Diego）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年6月4日（周二）下午14:00-15:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
Contrary to popular belief, exchange-rate models fit very well for the U.S. dollar over the past quarter century. We find that a “standard” single-equation model that includes real interest rates for the U.S. and the ‘foreign’ country, a measure of expected inflation for each country, the U.S. comprehensive trade balance, measures of global risk and liquidity demand, and the lagged real exchange rate level is well-supported in the data for the U.S. against other G10 currencies. This explanatory power does not come just from the global risk and liquidity variables, and the fit of the model is not driven by the episode of the global financial crisis. The monetary variables are highly significant and important in explaining exchange rate movements. Importantly, the model is fit on monthly changes in exchange rates, which have proven in the past to be difficult to explain. We show that in the 1970s – early 1990s, the fit of the model was poor but the fit (as measured by t- and F-statistics, and R2s) has increased almost monotonically to the present day. We make the case that it is improved monetary policy (inflation targeting) that has led to the better fit, as the scope for “sunspots” to affect real and nominal exchange rates has disappeared.
主讲人介绍：
Steve Pak Yeung WU is an Assistant Professor in the Economics Department of University of California, San Diego (UCSD). He joined the University of California, San Diego in 2021. His research interests include International Macro/Finance, Monetary Economics. He received his Ph.D. in Economics from University of Wisconsin - Madison in 2020. His publications appear in The Review of Economic Studies, Review of Economics Statistics, Journal of Money, Credit and Banking, Journal of International Economics and Journal of International Money and Finance.
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国际经济学workshop: Exchange Rate Models are Better than You Think, and Why They Didn't Work in the Old Days
发布日期：2024-06-04 12:00 来源：
主讲人：Steve Pak Yeung WU（University of California, San Diego）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年6月4日（周二）下午14:00-15:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
Contrary to popular belief, exchange-rate models fit very well for the U.S. dollar over the past quarter century. We find that a “standard” single-equation model that includes real interest rates for the U.S. and the ‘foreign’ country, a measure of expected inflation for each country, the U.S. comprehensive trade balance, measures of global risk and liquidity demand, and the lagged real exchange rate level is well-supported in the data for the U.S. against other G10 currencies. This explanatory power does not come just from the global risk and liquidity variables, and the fit of the model is not driven by the episode of the global financial crisis. The monetary variables are highly significant and important in explaining exchange rate movements. Importantly, the model is fit on monthly changes in exchange rates, which have proven in the past to be difficult to explain. We show that in the 1970s – early 1990s, the fit of the model was poor but the fit (as measured by t- and F-statistics, and R2s) has increased almost monotonically to the present day. We make the case that it is improved monetary policy (inflation targeting) that has led to the better fit, as the scope for “sunspots” to affect real and nominal exchange rates has disappeared.
主讲人介绍：
Steve Pak Yeung WU is an Assistant Professor in the Economics Department of University of California, San Diego (UCSD). He joined the University of California, San Diego in 2021. His research interests include International Macro/Finance, Monetary Economics. He received his Ph.D. in Economics from University of Wisconsin - Madison in 2020. His publications appear in The Review of Economic Studies, Review of Economics Statistics, Journal of Money, Credit and Banking, Journal of International Economics and Journal of International Money and Finance.
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