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INTERNATIONAL LIQUIDITY AND EXCHANGE RATE DYNAMICS

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alter... Full description

Journal Title: The Quarterly journal of economics 2015, Vol.130 (3), p.1369-1420
Main Author: Gabaix, Xavier
Other Authors: Maggiori, Matteo
Format: Electronic Article Electronic Article
Language: English
Subjects:
Publisher: Oxford: Oxford University Press
ID: ISSN: 0033-5533
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title: INTERNATIONAL LIQUIDITY AND EXCHANGE RATE DYNAMICS
format: Article
creator:
  • Gabaix, Xavier
  • Maggiori, Matteo
subjects:
  • ARTICLES
  • Balance sheets
  • Capital flow
  • Capital movement
  • Economic theory
  • Exchange rates
  • Forecasts and trends
  • Foreign exchange
  • Foreign exchange rates
  • Influence
  • International liquidity
  • Liquidity
  • Macroeconomics
  • Prices and rates
  • Securities markets
  • Studies
  • Unemployment
  • Volatility
ispartof: The Quarterly journal of economics, 2015, Vol.130 (3), p.1369-1420
description: We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding currency risk, thus affecting both the level and volatility of exchange rates. Our theory of exchange rate determination in imperfect financial markets not only helps rationalize the empirical disconnect between exchange rates and traditional macroeconomic fundamentals, it also has real consequences for output and risk sharing. Exchange rates are sensitive to imbalances in financial markets and seldom perform the shock absorption role that is central to traditional theoretical macroeconomic analysis. Our framework is flexible; it accommodates a number of important modeling features within an imperfect financial market model, such as nontradables, production, money, sticky prices or wages, various forms of international pricing-to-market, and unemployment.
language: eng
source:
identifier: ISSN: 0033-5533
fulltext: no_fulltext
issn:
  • 0033-5533
  • 1531-4650
url: Link


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descriptionWe provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding currency risk, thus affecting both the level and volatility of exchange rates. Our theory of exchange rate determination in imperfect financial markets not only helps rationalize the empirical disconnect between exchange rates and traditional macroeconomic fundamentals, it also has real consequences for output and risk sharing. Exchange rates are sensitive to imbalances in financial markets and seldom perform the shock absorption role that is central to traditional theoretical macroeconomic analysis. Our framework is flexible; it accommodates a number of important modeling features within an imperfect financial market model, such as nontradables, production, money, sticky prices or wages, various forms of international pricing-to-market, and unemployment.
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subjectARTICLES ; Balance sheets ; Capital flow ; Capital movement ; Economic theory ; Exchange rates ; Forecasts and trends ; Foreign exchange ; Foreign exchange rates ; Influence ; International liquidity ; Liquidity ; Macroeconomics ; Prices and rates ; Securities markets ; Studies ; Unemployment ; Volatility
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17Volatility
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6Forecasts and trends
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8Foreign exchange rates
9Influence
10International liquidity
11Liquidity
12Macroeconomics
13Prices and rates
14Securities markets
15Studies
16Unemployment
17Volatility
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abstractWe provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding currency risk, thus affecting both the level and volatility of exchange rates. Our theory of exchange rate determination in imperfect financial markets not only helps rationalize the empirical disconnect between exchange rates and traditional macroeconomic fundamentals, it also has real consequences for output and risk sharing. Exchange rates are sensitive to imbalances in financial markets and seldom perform the shock absorption role that is central to traditional theoretical macroeconomic analysis. Our framework is flexible; it accommodates a number of important modeling features within an imperfect financial market model, such as nontradables, production, money, sticky prices or wages, various forms of international pricing-to-market, and unemployment.
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doi10.1093/qje/qjv016
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