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- W2022142721 abstract "In a dual-currency, flexible exchange rate model, both nominal and real foreign exchange premia depend on investor risk attitudes, consumption parameters, and the stochastic structure of currency and commodity supplies. When supplies are random, their joint correlation structure determines the sign of the premia. If the money supplies are identically distributed, then all foreign exchange premia, regardless of the currency of denomination, are zero. A positive correlation between the value of a country's currency and its nominal interest rate need not indicate real interest rate movements. Relative bond prices can be negatively correlated with the terms of trade. RECENTLY, THERE HAS BEEN a great deal of interest in the construction and use of general equilibrium models of an international economy subject to random disturbances.1 However, with the exceptions of Stulz (1984), Domowitz and Hakkio (1985), Hodrick and Srivastava (1986), and Stockman and Svensson (1987), little effort has been devoted to expressing the relationships examined in these models in terms of parameters describing the underlying stochastic processes of the exogenous variables.2 Stockman and Svensson incorporated international capital flows into the model of Svensson (1985) and calculated covariances between investment, the current account, the exchange rate, and the terms of trade in terms of exogenous money and commodity supplies. Focusing more on financial market issues, Domowitz and Hakkio and Hodrick and Srivastava simplified the case-in-advance model of Lucas (1982) by assuming that the exogenous variables are independently lognormal and that investors have loglinear utility functions, a procedure which allowed them to relate the premium required on forward exchange contracts to money supply variances. Stulz obtained similar results in a continuous time model where real money balances enter the utility function. This paper employs a model similar to that developed by Domowitz and Hakkio (1985) and Hodrick and Srivastava (1986), but its emphasis and objectives are quite different. Those authors were concerned only with demonstrating that a time-varying risk premium is a theoretical possibility prior to conducting a series of empirical tests only loosely related to the model itself. Consequently, they did" @default.
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- W2022142721 date "1990-06-01" @default.
- W2022142721 modified "2023-09-27" @default.
- W2022142721 title "International Interest Rates, Exchange Rates, and the Stochastic Structure of Supply" @default.
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- W2022142721 doi "https://doi.org/10.1111/j.1540-6261.1990.tb03710.x" @default.
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