Money and exchange rates in the Grossman-Weiss-Rotemberg model

We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile th...

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Autores principales: Alvarez, F., Atkeson, A.
Formato: JOUR
Materias:
Exchange rates
Interest rates
Liquidity effect
Monetary policy
Segmented markets
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_03043932_v40_n3_p619_Alvarez
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_03043932_v40_n3_p619_Alvarez
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spelling todo:paper_03043932_v40_n3_p619_Alvarez2023-10-03T15:20:14Z Money and exchange rates in the Grossman-Weiss-Rotemberg model Alvarez, F. Atkeson, A. Exchange rates Interest rates Liquidity effect Monetary policy Segmented markets We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (3) highly persistent. While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior. © 1997 Elsevier Science B.V. All rights reserved. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03043932_v40_n3_p619_Alvarez
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Exchange rates
Interest rates
Liquidity effect
Monetary policy
Segmented markets
spellingShingle Exchange rates
Interest rates
Liquidity effect
Monetary policy
Segmented markets
Alvarez, F.
Atkeson, A.
Money and exchange rates in the Grossman-Weiss-Rotemberg model
topic_facet Exchange rates
Interest rates
Liquidity effect
Monetary policy
Segmented markets
description We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (3) highly persistent. While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior. © 1997 Elsevier Science B.V. All rights reserved.
format JOUR
author Alvarez, F.
Atkeson, A.
author_facet Alvarez, F.
Atkeson, A.
author_sort Alvarez, F.
title Money and exchange rates in the Grossman-Weiss-Rotemberg model
title_short Money and exchange rates in the Grossman-Weiss-Rotemberg model
title_full Money and exchange rates in the Grossman-Weiss-Rotemberg model
title_fullStr Money and exchange rates in the Grossman-Weiss-Rotemberg model
title_full_unstemmed Money and exchange rates in the Grossman-Weiss-Rotemberg model
title_sort money and exchange rates in the grossman-weiss-rotemberg model
url http://hdl.handle.net/20.500.12110/paper_03043932_v40_n3_p619_Alvarez
work_keys_str_mv AT alvarezf moneyandexchangeratesinthegrossmanweissrotembergmodel
AT atkesona moneyandexchangeratesinthegrossmanweissrotembergmodel
_version_ 1807317704772681728

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