DYNAMIC EQUILIBRIUM AND THE REAL EXCHANGE-RATE IN A SPATIALLY SEPARATED WORLD

被引:313
作者
DUMAS, B
机构
关键词
D O I
10.1093/rfs/5.2.153
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Two homogeneous stocks of physical capital are located in two different countries, separated by an "ocean". They are consumed by local residents, invested in a random production process yielding real returns, or transferred abroad. Under proportional transfer costs, trade, consumption, and capital imbalances are shown to be persistent. The heteroskedastic process for the relative price of capital in the two countries has a nonlinear, mean-reverting drift. Nevertheless, the conditional probability of the price moving from the parity value of unity is greater than the probability of it moving toward parity. The real interest-rate differential incorporates a simple risk premium.
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页码:153 / 180
页数:28
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