Stock markets, current account dynamics, and exchange rate determination.

摘要

This thesis develops a model to study the role of stock market on the current account and the real exchange rate dynamics. The model allows an arbitrary number of risky assets, which form an incomplete market, as well as a risk free bond. In the first chapter, a closed form solution for the current account is derived from the optimal portfolio and consumption/saving choices of a representative agent. It relates the current account to the present and expected future performance of the stock markets, as well as to the evolution of the structure of risk across markets and assets. Formally, the model can be seen as a stock market augmented version of the so-called "fundamental equation of the current account" popularized by Sachs.;In a second chapter, I test this model using US quarterly and annual data and find that the markets matter. Some aspects of conventional tests of present-value models are inappropriate when the variables involved, like the current account, are persistent. This second paper therefore includes a critique of the conventional econometric techniques and provides some guidelines on how to do the testy.;In order to make the main points of the model clear, it is first solved taking risky asset prices as given (chapter 1). In chapter 3, a general equilibrium is analyzed, in which risky asset prices and allocations of risky assets among countries are determined endogenously. The risk-free rate is exogenous, so our model is an intermediate step toward a full general equilibrium. I also derive a closed-form solution for the real exchange rate. I then revisit the Balassa-Samuelson effect, and I suggest new determinants of the real exchange rate.