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汇率脱钩与贸易平衡

金融2024-07-29Martin Bodenstein、Pablo Cuba-Borda、Nils Goernemann、Ignacio Presno美联储陳***

AI智能总结

Exchange Rate Disconnect and the Trade Balance

Introduction

The real exchange rate is central to international macroeconomics. Traditional models of exchange rate determination often separate the exchange rate from the rest of the macroeconomy to explain long-standing discrepancies between economic theory and empirical data. This paper proposes a model that links exchange rate movements to shifts in the demand for domestically produced goods relative to imported goods (trade rebalancing).

Key Findings

Model Setup: The model incorporates costly international financial intermediation, linking exchange rate movements to changes in the trade balance. It is consistent with stylized facts of exchange rate dynamics, including those related to the trade balance.
Quantitative Assessment: Trade rebalancing explains nearly 50% of exchange rate fluctuations over the business cycle. Exogenous deviations from uncovered interest rate parity (UIP) account for about 20% of exchange rate fluctuations.
Trade Rebalancing Shocks: These shocks raise the demand for domestically produced goods relative to imported goods, leading to a trade balance improvement and real currency appreciation. The responses of the trade balance and real exchange rate depend on the extent of consumption risk sharing across countries.
Costly Financial Intermediation: Higher costs of financial intermediation reduce international borrowing and lending, restraining the trade balance response and requiring larger real exchange rate adjustments to maintain goods market equilibrium.
Data Consistency: The model's movements of the real exchange rate relative to the trade balance are consistent with qualitative and quantitative patterns observed in the data.

Puzzles Addressed

Exchange Rate Disconnect Puzzle: Exchange rates are much more volatile than aggregate consumption and output.
Backus-Smith Puzzle: The correlation between the real exchange rate and relative consumption is low and often negative.
Forward-Premium Puzzle: High interest rate currencies are expected to appreciate, contrary to the uncovered interest rate parity condition.

Model Features

Stylized, Real Two-Country Model: Each country produces a country-specific good that is traded internationally but imperfectly substitutable. Households prefer domestically produced goods and can trade a non-state-contingent bond in zero-net supply.
Shocks:
- Trade Rebalancing Shocks: Shift household preferences over traded goods.
- Technology Shocks: Alter total factor productivity.
- UIP Shocks: Lead to exogenous deviations from the uncovered interest rate parity condition.
Costly International Financial Intermediation: Limits international borrowing and lending, affecting consumption risk sharing.

Contributions

Analytical Solutions: Characterize the exchange rate disconnect and the role of trade rebalancing in exchange rate determination.
Identification: Information on trade balance dynamics helps distinguish UIP shocks from trade rebalancing shocks.
Reduced Importance of UIP Shock: The model significantly reduces the importance of UIP shocks in explaining real exchange rate volatility.

Conclusion

The proposed model addresses major real exchange rate puzzles and brings the model in line with data evidence about exchange rates and the trade balance. Costly financial intermediation and trade rebalancing shocks are crucial in resolving the mismatch between the data and traditional models of exchange rate determination.

BoardofGovernorsoftheFederalReserveSystemInternationalFinanceDiscussionPapers ISSN1073-2500(Print) ISSN2767-4509(Online) Number1391 July2024 ExchangeRateDisconnectandtheTradeBalance MartinBodenstein,PabloCuba-Borda,NilsGoernemann,IgnacioPresno Pleasecitethispaperas: Bodenstein,Martin,PabloCuba-Borda,NilsGoernemann,andIgnacioPresno(2024).“ExchangeRateDisconnectandtheTradeBalance,”InternationalFinanceDiscus-sionPapers1391.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/IFDP.2024.1391. NOTE:InternationalFinanceDiscussionPapers(IFDPs)arepreliminarymaterialscirculatedtostimu-latediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheInternationalFinanceDiscussionPapersSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.RecentIFDPsareavailableontheWebatwww.federalreserve.gov/pubs/ifdp/.ThispapercanbedownloadedwithoutchargefromtheSocialScienceResearchNetworkelectroniclibraryatwww.ssrn.com. ExchangeRateDisconnectandtheTradeBalance∗ MartinBodensteinPabloCuba-Borda FederalReserveBoardFederalReserveBoard NilsGoernemannIgnacioPresno FederalReserveBoardFederalReserveBoard Currentversion:June26,2024 Abstract Weproposeamodelwithcostlyinternationalfinancialintermediationthatlinksex-changeratemovementstoshiftsinthedemandfordomesticallyproducedgoodsrelativetothedemandforimportedgoods(traderebalancing).Ourmodelisconsistentwithstyl-izedfactsofexchangeratedynamics,includingthoserelatedtothetradebalance,whichistypicallyoverlookedintheliteratureonexchangeratedetermination.Inaquantitativeassessment,traderebalancingexplainsnearly50percentofexchangeratefluctuationsoverthebusinesscycle,whereasexogenousdeviationsfromtheuncoveredinterestrateparity—theprimarysourceofexchangeratefluctuationsintheliterature—accountforjustabove20percent.Usingdataontradeflowsorthetradebalanceiskeytoproperlyidentifyingthedeterminantsoftheexchangerate.Thus,ourmodelovercomesthesharpdichotomybe-tweentherealexchangerateandthemacroeconomyembeddedinothermodelsofexchangeratedetermination. JEL:F31,F32,F41. Keywords:ExchangeRates,RiskSharing,FinancialIntermediation,TradeBalance. ∗FirstVersion:February15,2024.Contactinformation:FederalReserveBoard,20thStreetandConstitutionAvenueNW,WashingtonDC20551.Email:martin.r.bodenstein@frb.gov, pablo.a.cubaborda@frb.gov,nils.m.goernemann@frb.gov,ignacio.presno@frb.gov.WearegratefulforcommentsbyAnnaLipin´ska,JuanPabloNicolini,AndreaRaffo,RicardoReyes-Heroles,FelipeSaffie,StephanieSchmitt-Groh´e,Mart´ınUribe,MarkWright,TonyZhang,andseminarparticipantsatBancoCentraldeChile,PontificiaUniversidadCatolicadeChile,andFederalReserveBoard.TheviewsexpressedinthispaperaresolelytheresponsibilityoftheauthorsandshouldnotbeinterpretedasreflectingtheviewsoftheBoardofGovernorsoftheFederalReserveSystemoranypersonassociatedwiththeFederalReserveSystem. 1Introduction Therealexchangerateiscentraltointernationalmacroeconomics.Yet,theliteratureonexchangeratedeterminationreliesonmechanismsfeaturingastarkseparationbetweentheexchangerateandtheremainderofthemacroeconomytoresolvelong-standingpuzzlesbetweeneconomictheoryandthedata(Fama1984;BackusandSmith1993;ObstfeldandRogoff2000).1Weproposeasetupthatdoesnotimposesuchastarkseparation.Usingamodelwithcostlyinternationalfinancialintermedi-ationinthespiritofGabaixandMaggiori(2015),welinkexchangeratemovementstoshiftsinthedemandfordomesticallyproducedgoodsrelativetothedemandforimportedgoods(traderebalancing).Ourmodelisconsistentwithstylizedfactsofexchangeratedynamicsoverthebusinesscycle,includingthoserelatedtothetradebalance,whichistypicallyoverlookedintheliterature.Inaquantitativeassessment,traderebalancingexplainsnearly50percentofexchangeratefluctuations,whereasexogenousdeviationsfromtheuncoveredinterestrateparity—theprimarysourceofexchangeratefluctuationsintheliterature—accountforjustabove20percent. Bothtraderebalancingshocksandcostlyinternationalfinancialintermediationareneededtobringthemodelinlinewiththedata.Atraderebalancingshockraises,atgivenprices,thedemandfordomestically-producedgoodsrelativetothedemandforimportedgoods,causingbothatradebalanceimprovementandarealcurrencyappreciation.Themagnitudeoftheresponsesofthetradebalanceandtherealexchangeratedependcriticallyontheextentofconsumptionrisksharingacrosscountries.Highercostsoffinancialintermediationreduceinternationalbor-rowingandlendingforagiven-sizedrebalancingshockandrestrainthetradebalanceresponsewhilerequiringlargerrealexchangerateadjustmenttomaintaingoodsmar-ketequilibrium.Undermoderatefinancialintermediationcosts,themovementsoftherealexchangeraterelativetothetradebalanceinthemodelareconsistentwiththequalitativeandquantitativepatternsinthedata. 1Thethreemostprominentpuzzlesare(1)theexchangeratedisconnectpuzzle(ObstfeldandRogoff2000),i.e.,thefactthatexchangeratesareanorderofmagnitudemorevolatilethanaggregateconsumptionandoutput;(2)

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