汇率脱钩与贸易平衡

International Finance Discussion Papers ISSN 1073-2500 (Print)ISSN 2767-4509 (Online) Number 1391 July 2024 Exchange Rate Disconnect and the Trade Balance Martin Bodenstein, Pablo Cuba-Borda, Nils Goernemann, Ignacio Presno Please cite this paper as:Bodenstein, Martin, Pablo Cuba-Borda, Nils Goernemann, and Ignacio Presno (2024).“ExchangeRate Disconnect and the Trade Balance,”International Finance Discus-sion Papers 1391.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/IFDP.2024.1391. NOTE: International Finance Discussion Papers (IFDPs) are preliminary materials circulated to stimu-late discussion and critical comment.The analysis and conclusions set forth are those of the authors anddo not indicate concurrence by other members of the research staff or the Board of Governors. Referencesin publications to the International Finance Discussion Papers Series (other than acknowledgement) shouldbe cleared with the author(s) to protect the tentative character of these papers. Recent IFDPs are availableon the Web at www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from theSocial Science Research Network electronic library at www.ssrn.com. Exchange Rate Disconnect andthe Trade Balance∗ Martin BodensteinFederal Reserve Board Pablo Cuba-BordaFederal Reserve Board Nils GoernemannIgnacio PresnoFederal Reserve BoardFederal Reserve Board Current version: June 26, 2024 Abstract We propose a model with costly international financial intermediation that links ex-change rate movements to shifts in the demand for domestically produced goods relativeto the demand for imported goods (trade rebalancing). Our model is consistent with styl-ized facts of exchange rate dynamics, including those related to the trade balance, whichis typically overlooked in the literature on exchange rate determination. In a quantitativeassessment, trade rebalancing explains nearly 50 percent of exchange rate fluctuations overthe business cycle, whereas exogenous deviations from the uncovered interest rate parity—the primary source of exchange rate fluctuations in the literature—account for just above20 percent. Using data on trade flows or the trade balance is key to properly identifying thedeterminants of the exchange rate. Thus, our model overcomes the sharp dichotomy be-tween the real exchange rate and the macroeconomy embedded in other models of exchangerate determination. JEL: F31, F32, F41.Keywords: Exchange Rates, Risk Sharing, Financial Intermediation, Trade Balance. 1Introduction The real exchange rate is central to international macroeconomics. Yet, the literatureon exchange rate determination relies on mechanisms featuring a stark separationbetween the exchange rate and the remainder of the macroeconomy to resolve long-standing puzzles between economic theory and the data (Fama 1984; Backus andSmith 1993; Obstfeld and Rogoff 2000).1 We propose a setup that does not imposesuch a stark separation. Using a model with costly international financial intermedi-ation in the spirit of Gabaix and Maggiori (2015), we link exchange rate movementsto shifts in the demand for domestically produced goods relative to the demand forimported goods (trade rebalancing). Our model is consistent with stylized facts ofexchange rate dynamics over the business cycle, including those related to the tradebalance, which is typically overlooked in the literature. In a quantitative assessment,trade rebalancing explains nearly 50 percent of exchange rate fluctuations, whereasexogenous deviations from the uncovered interest rate parity—the primary source ofexchange rate fluctuations in the literature—account for just above 20 percent. Both trade rebalancing shocks and costly international financial intermediationare needed to bring the model in line with the data.A trade rebalancing shockraises, at given prices, the demand for domestically-produced goods relative to thedemand for imported goods, causing both a trade balance improvement and a realcurrency appreciation.The magnitude of the responses of the trade balance andthe real exchange rate depend critically on the extent of consumption risk sharingacross countries. Higher costs of financial intermediation reduce international bor-rowing and lending for a given-sized rebalancing shock and restrain the trade balanceresponse while requiring larger real exchange rate adjustment to maintain goods mar-ket equilibrium.Under moderate financial intermediation costs, the movements ofthe real exchange rate relative to the trade balance in the model are consistent withthe qualitative and quantitative patterns in the data. Models that rely on exogenous departures from the uncovered interest rate parity(UIP) condition (Itskhoki and Mukhin 2021; Eichenbaum, Johannsen, and Rebelo2021) as the main driver of the real exchange rate address major real exchange ratepuzzles but imply excessive volatility of the trade balance relative to the real exchanger