본문 바로가기
KERD
논문KCI 등재

Understanding the Real Exchange Rate and Consumption: Limited Asset Market Participation

정용승
한국경제학회 (The Korean Economic Association)|2017.06|The Korean Economic Review|제33권 제1호|pp. 127-152|DOI 10.22841/kerdoi.2017.33.1.005

2

조회

0

다운로드

0

인용

0

참고문헌

키워드

Expenditure DelaysNon-Asset HoldersReal Exchange Rate-Consumption Anomaly
주제분류경제학

초록

This paper sets up an open-economy new Keynesian model with limited asset market participation and expenditure delays to explore the real exchange rate and consumption anomaly. The main finding of the paper is that relative aggregate consumption move less closely with the real exchange rate defined as the marginal utility of consumption in foreign country relative to the marginal utility of consumption in home country when only some households with expenditure delays can protect themselves from risk by participating in the financial market and the rest of the households consume their current wage income. The correlation between the real exchange rate and relative consumption turns into a negative territory when households are less willing to substitute home goods with foreign goods.

Abstract

This paper sets up an open-economy new Keynesian model with limited asset market participation and expenditure delays to explore the real exchange rate and consumption anomaly. The main finding of the paper is that relative aggregate consumption move less closely with the real exchange rate defined as the marginal utility of consumption in foreign country relative to the marginal utility of consumption in home country when only some households with expenditure delays can protect themselves from risk by participating in the financial market and the rest of the households consume their current wage income. The correlation between the real exchange rate and relative consumption turns into a negative territory when households are less willing to substitute home goods with foreign goods.

참고문헌 (45)

  1. Backus, David K, "Consumption and Real Exchange Rates in Dynamic Economies with Non-Traded Goods", Journal of International Economics, 35, pp.297~316 (1993)
  2. Backus, David, "International Evidence on the Historical Properties of Business Cycles", American Economic Review, 82, pp.864~888 (1994)
  3. Constant Returns and Small Markups in US Manufacturing, "Basu, Susanto", University of Michigan, ~ (1993)
  4. Benigno, Gianluca, "Consumption and Real Exchange Rates with Incomplete Markets and Non-Traded Goods", Journal of International Money and Finance, 27, pp.926~948 (2008)
  5. Bernanke, Ben, "Handbook of Macroeconomics, Vol. 1C", pp.1341~1393 (1999), Elsevier
  6. Bilbiie, Florin O, "Limited Asset Market Participation, Monetary Policy, and Inverted Aggregate Demand Logic", Journal of Economic Theory, 140, pp.162~196 (2008)
  7. Bilbiie. Florin O., "Public Debt and Redistribution with Borrowing Constraints", Economic Journal, 123, pp.F64~F98 (2013)
  8. Bilbiie, Florin O, "Asset Market Participation, Monetary Policy Rules and the Great Inflation", Review of Economics and Statistics (2016)
  9. Blanchard, Olivier J, "Debt, Deficits, and Finite Horizons", Journal of Political Economy, 93(2), pp.223~247 (1985)
  10. Calvo, Guillermo, "Staggered Prices in a Utility-Maximizing Framework", Journal of Monetary Economics, 12, pp.383~398 (1983)
  11. Campbell, John, "NBER Macroeconomics Annual", pp.185~216 (1989), MIT Press
  12. Chari, V. V., "Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?", Review of Economic Studies, 69(3), pp.533~563 (2002)
  13. Chirinko, Robert S, "Business Fixed Investment Spending: A Critical Survey of Modeling Strategies, Empirical Results and Policy Implications", Journal of Economic Literature, 31, pp.1875~1911 (1993)
  14. Christiano, Lawrence J., "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy", Journal of Political Economy, 115, pp.1~45 (2005)
  15. Christiano, Lawrence J., "Handbook of Macroeconomics, Vol. 1", pp.65~148 (1999), Elsevier
  16. Clarida, Richard, "The Science of Monetary Policy : A New Keynesian Perspective", Journal of Economic Literature, 37, pp.16~61 (1999)
  17. Corsetti, Giancalro, "International Risk Sharing and the International Transmission of Productivity Shocks", Review of Economic Studies, 75(2), pp.443~473 (2008)
  18. Dixit, Avinash K, "Monopolistic Competition and Optimum Product Diversity", American Economic Review, 67, pp.297~308 (1977)
  19. Asset Price Bubbles and Monetary Policy in a New Keynesian Model with Overlapping Generations, "Galí, Jordi", ~ (2016)
  20. Galí, Jordi, "Technology, Employment, and the Business Cycle : Do Technology Shocks Explain Aggregate Fluctuations?", American Economic Review, 89(1), pp.249~271 (1999)
  21. Galí, Jordi, "Understanding the Effects of Government Spending on Consumption", Journal of European Economic Association, 5(1), pp.227~270 (2007)
  22. Galí, Jordi, "Rule-of-thumb Consumers and the Design of Interest Rate Rules", Journal of Money, Credit and Banking, 36(4), pp.739~764 (2004)
  23. Gao, Xiaodan, "Limited Participation in International Business Cycles : A Formal Evaluation", Journal of Economics, Dynamics and Control, 39, pp.255~272 (2014)
  24. Heathcote, Jonathan, "Financial Autarky and International Real Business Cycles", Journal of Monetary Economics, 49(3), pp.601~627 (2002)
  25. Jappelli, Tullio, "The Consumption Response to Income Changes", Annual Review of Economics, 2, pp.479~506 (2010)
  26. Jung, Yongseung, "Price Stability in Economies with Habit Persistence", Journal of Money, Credit and Banking, 47(4), pp.517~549 (2015)
  27. Monetary Policy According to HANK, "Kaplan, Greg", Princeton University, ~ (2016)
  28. Kaplan, Greg, "The Wealthy Hand-to-Mouth", Brookings Papers on Economic Activity, 48(1), pp.77~153 (2014)
  29. King, Robert G, "Money, Prices, Interest Rates and the Business Cycle", Review of Economics and Statistics, 78, pp.35~53 (1996)
  30. Inflation Targeting in a St. Louis Model of 21st Century, "King, Robert G", NBER, ~, pp.NBER Working Paper #5507 (1996)
  31. Kollman, Robert, "Limited Asset Market Participation and the Consumption-Real Exchange Rate Anomaly", Canadian Journal of Economics, 45(2), pp.566~584 (2012)
  32. Lucas, Robert E. Jr, "Interest Rates and Currency Prices in a Two-country World", Journal of Monetary Economics, 10(3), pp.335~359 (1982)
  33. Mankiw, Gregory, N, "The Savers-Spenders Theory of Fiscal Policy", American Economic Review, 90(2), pp.120~125 (2000)
  34. Monacelli, Tommaso, "Redistribution and the Multiplier", IMF Review, 59(4), pp.630~651 (2011)
  35. Nisticó, Salvatore, "Optimal Monetary Policy and Financial Stability in a Non-Ricardian Economy", Journal of European Economic Association (2016)
  36. Obstfeld, Maurice, "NBER Macroeconomics 2001", pp.393~412 (2001)
  37. Obstfeld, Maurice, "Foundations of International Macroeconomics" (1996), MIT Press
  38. Rotemberg, Julio J., "NBER Macroeconomics Annual 1997", pp.297~346 (1997)
  39. Net Foreign Assets and Imperfect Pass-through:The Consumption, Real Exchange Rate Anomaly, "Selaive, Jorge", ~, pp.Board of Governors of the Federal Reserve System International Finance Discussion Papers 764 (2003)
  40. Smets, Frank, "Sources of Business Cycle Fluctuation in the U.S.:A Bayesian DSGE Approach", American Economic Review, 97(3), pp.586~606 (2007)
  41. Taylor, John, B, "Macroeconomic Policy in a World Economy: From Economic Design to Practical Operation" (1993), Norton
  42. Whalley, John, "Trade Liberalization Among Major Trading Areas" (1985), MIT Press
  43. Woodford, Michael, "Interest and Prices: Foundations of a Theory of Monetary Policy" (2003), Princeton University Press
  44. Yaari, Menahem E, "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer", Review of Economic Studies, 32(2), pp.137~150 (1965)
  45. Yun, Tack, "Nominal Price Rigidity, Money Supply Endogeneity, and Business Cycles", Journal of Monetary Economics, 37, pp.345~370 (1996)

관련 논문AI추천

Dynamics of Real Exchange Rates and Trade Balance in the Presence of Heterogeneous Preferences and Incomplete Financial Markets김영재, 안건미한국경제학회 · The Korean Economic Review2005 · 제21권 제2호Intermediary-Determined Exchange RatesNam Jong Kim한국국제경영학회 · 국제경영연구2016 · 제27권 제3호Openness and the Persistence of Real Exchange Rates: Calvo versus Taylor Price Settings문성만지암남덕우경제연구원 · 시장경제연구2014 · 제43권 제2호Foreign Exchange Risk Premia and Goods Market Frictions문성만대외경제정책연구원 · East Asian Economic Review2015 · 제19권 제1호Fiscal Policy, Relocation of Firms, and the Exchange RateWataru Johdo경제연구소 · Seoul Journal of Economics2019 · 제32권 제4호Exchange Rate Pass-through, Nominal Wage Rigidities, and Monetary Policy in a Small Open Economy송정석, 이혁재대외경제정책연구원 · East Asian Economic Review2018 · 제22권 제3호

이 간행물의 다른 논문 (6건)

Information Quality of Online Reviews in the Presence of Potentially Fake Reviews류두진, 박상곤, 송원호pp. 5-34First-Mover and Second-Mover Advantages in a Bilateral Duopoly최강식, 황규찬, 이동준pp. 35-53Evolutionarily Stable Correlation김종민, Kam-Chau Wongpp. 55-94Gender Interaction in Teams: Experimental Evidence on Performance and Punishment BehaviorRadu Vranceanu, 정세은pp. 95-126Subsidization Policy on the Social Enterprise for the Underprivileged조수미, 이상호pp. 153-178
원문 보기