قرار دادن " اقتصاد کلان اقتصاد باز جدید " به عنوان آزمون

This paper explores one way to extend the New Open Economy Macroeconomics in an empirical direction. Adapting maximum likelihood procedures, it estimates and tests an intertemporal small open economy model with monetary shocks and nominal rigidities. Results offer mixed support for a benchmark model where prices are assumed to be sticky in the currency of the buyer. Price stickiness seems to be an important element, as overall results are poorer for versions of the model in which prices either are flexible or are sticky in the currency of the producer. The benchmark model does a better job explaining some variables than others; in particular, it does a poor job explaining exchange rate movements.

Recent years have witnessed a shift in international macroeconomic theory, with the development of a modeling approach that widely has become known as the ‘New Open Economy Macroeconomics.’ The unifying feature of this literature is the introduction of nominal rigidities into a dynamic general equilibrium model based on optimizing agents.1 Typically, monopolistic competition is incorporated to permit the explicit analysis of price-setting decisions. This literature has tended to focus on shocks to money supply, and demonstrates how such shocks can explain fluctuations in the current account and exchange rate. Following the fundamental work of Obstfeld and Rogoff (1995), there has been a proliferation of models extending the theory in varied directions.2 There are a number of debates within this literature. One such debate regards the choice of currency in which prices are sticky. Betts and Devereux, 1996 and Betts and Devereux, 2000 argue that assuming prices are sticky in the currency of the buyer (local currency pricing) improves the model’s ability to explain exchange rate behavior. On the other hand, Obstfeld and Rogoff (2000) argue in favor of prices sticky in the currency of the seller (producer currency pricing). A second theoretical argument regards whether stickiness is better assumed for prices or for wages. While the literature generally has focused on sticky goods prices, Obstfeld and Rogoff (2000) demonstrate the usefulness of wage stickiness.3 Resolution of these theoretical debates is hampered by the fact that while the theoretical literature on New Open Economy Macroeconomics has grown rapidly, the empirical literature has lagged behind. While earlier generations of intertemporal international models were evaluated econometrically using present value tests, this approach cannot accommodate the more complex models of the recent generation.4 Without empirical testing, it is difficult to know which of the many versions considered in the literature is preferable. And more generally, it is impossible to say whether the overall approach of the New Open Economy Macroeconomics is sufficiently accurate as a characterization of reality, that it eventually could be used reliably for policy analysis. The present paper explores one approach for addressing these issues. A structural general equilibrium model of a semi-small open economy is estimated by maximum likelihood, and the fit of the model is evaluated by comparing the likelihood to that of an unrestricted counterpart.5 In addition, alternative versions of the structural model are compared to each other in terms of their fit. The model is fit to a data set that includes the nominal exchange rate, the current account, output, money, home and world price levels, and the world real interest rate. Three small open economies are considered: Australia, Canada, and the United Kingdom. The model considers a range of structural shocks in addition to money supply, including shocks to technology, foreign interest rate, foreign demand, and consumer tastes. Results show mixed support for a benchmark New Open Economy model. A likelihood ratio test does not reject the benchmark theoretical model in comparison with the unrestricted counterpart model for two of three countries considered. Comparisons with a more standard vector autoregression using the Schwarz criterion favor the structural model for all three countries. However, in forecasting individual variables, the structural model does better for some variables than others. The model has some predictive value for the price level and output, but the model cannot beat a random walk in predicting movements in the exchange rate or the current account for any of the three countries. Price rigidities appear to be a useful element in the model, since a version that assumes no such rigidity is rejected for all three countries. Results are ambiguous regarding the importance of wage stickiness. Also, price stickiness of the local currency variety appears to be more useful than the alternative of stickiness in the currency of the producer, as the latter case generates a somewhat lower likelihood value for all three countries. The next section will present the structural model, and Section 3 will present the estimation methodology. Section 4 will present results and Section 5 will draw some conclusions.

This paper has explored one promising approach for giving the New Open Economy Macroeconomics an empirical dimension. It has adapted maximum likelihood procedures to estimate and test an intertemporal small open economy model with monetary shocks and sticky prices and wages. The results showed some mixed support for a benchmark model. In comparison with an unrestricted counterpart model, the restrictions of the structural model were not rejected in two of three countries. The structural model fared even better in comparison with a more standard vector autoregression, where the Schwarz criterion favored the structural model for all three countries. However, the model’s performance was poorer in terms of forecasting individual variables. While the model has some predictive value for the price level and output, the model cannot beat a random walk in predicting movements in the exchange rate or the current account for any of the three countries. Price rigidities appear to be a useful element in the model, since a version that assumes no such rigidity is rejected for all three countries. The methodology also tested a version of the model in which prices were assumed to be sticky in the currency of the seller rather than the buyer. Overall, this model performed less well than the benchmark model in terms of likelihood ratios.