Essays on the economics of managed- and floating-exchange rate regimes.

摘要

This dissertation revolves around two puzzling phenomena associated with open economies: the output/inflation dynamics following an exchange rate-based stabilization and the presence of statistically significant deviations from uncovered interest parity. This is the subject matter of Chapters II and III, respectively.; The objective of Chapter II is to study the effects of inflation-stabilization policies conducted with the exchange rate within the setting of a small open economy. Some researchers have identified a number of empirical facts in inflation stabilization programs conducted with an exchange rate anchor: a boom-recession cycle in output and consumption, real exchange rate appreciation, failure of the inflation rate to converge promptly to steady state, current account and trade balance deficits, and expansion of government debt.; The chapter develops a theoretical model that tries to capture the empirical regularities characterizing exchange rate-based inflation stabilizations. The framework is comprised by a stochastic general equilibrium model of intertemporal Some relevant features of the model are: (a) consumers are cash-in-advance constrained; (b) producers adjust prices according to a Calvo-type model of staggered contracts that incorporates relative price-setting á la Fuhrer and Moore (1995); and, (c) unexpected fiscal policy changes are not neutral. The model is simulated numerically and a sensitivity analysis is conducted with satisfactory results.; Chapter III addresses theoretically and empirically what determines the differences between domestic and foreign interest rates. This problem is approached with the consumption-based asset pricing model (CCAPM) whereby deviations from uncovered interest parity are interpreted as a risk premium. The chapter appraises the merits of two CCAPMs that hinge on non-separable preferences.; The first theory, habit-formation, is essentially rejected. Several estimates of the model, found through a computer algorithm, indicate that the restrictions of the theory are rarely met and that competing models with higher explanatory power exist. According to the second theory, the intertemporal marginal rate of substitution (that governs the behavior of the risk premium) is affected by stochastic shocks that stem from the consumer's trade-off between consumption and leisure. This view, in contrast, cannot be rejected.