不确定条件下的资产调整与汇率波动

On the Assets Adjustment and Exchange Rate Volatility under Uncertainty

最近很多研究发现:名义汇率同由经济基本因素决定的长期均衡之间的偏离呈现出较强的非线性特征。本文在Turnovsky的随机一般均衡两国模型框架下,在居民最优化行为、弹性价格基础上考虑了两国双向资本流动与资产调整的时滞,说明在不确定性环境中,投资者的资产调整所引发的资本流动也将使名义汇率呈现非线性特征,它显示了名义汇率在短期内存在的波动性。同时本文也说明,就长期而言,汇率的趋势仍将由宏观经济基本因素所主导。

Some recent studies present evidences that the deviation of nominal exchange rates from its long - run equilibrium determined by the fundamentals displays a nonlinear pattern. This paper develops a two - country model with consumer optimization, flexible prices and perfect capital mobility in Turnovsky＇s stochastic general equilibrium framework. It demonstrates that in a uncertain world with two - way capital flows and investors＇ lagging assets adjustment, capital flows caused by investors＇ asset reallocation would make nominal exchange rate display a nonlinear characteristic, which indicates the nominal exchange rate＇s short - run volatility. This paper also shows that in the long run, exchange rate＇s trend will be dominated by the fundamentals.