چگونه اقتصاد کلان اقتصاد باز جدید می تواند به خوبی نرخ ارز و حساب جاری را توضیح دهد؟

This paper advances the New Open Economy Macroeconomic literature in an empirical direction, estimating and testing a two-country model. Fit to U.S. and G7 data, the model performs moderately well for the exchange rate and current account. Results offer guidance for future theoretical work. Parameter estimates lend support to the assumption of local currency pricing. Estimates are found for key parameters commonly calibrated in the theoretical literature, such as the elasticity of substitution between home and foreign composite goods, and the response of a country's risk premium to the net foreign asset position. Results also indicate that deviations from interest rate parity are not closely related to monetary policy shocks, as recently hypothesized, but that these deviations are strongly related to shifts in the current account.

International macroeconomists increasingly have come to rely upon a class of models known as New Open Economy Macroeconomics (NOEM), characterized by microeconomic foundations in combination with nominal rigidities. While theoretical work in the NOEM literature has grown rapidly, there has been comparatively little work done on empirical dimensions.1 This has not been for a lack of interest, as it generally is agreed that if we are to trust these models for policy analysis, we should have some degree of confidence that they accurately reflect basic features of the economy. However, the macroeconomic models developed recently are sufficiently complex that estimating and testing them econometrically calls for new tools. This paper advances the NOEM literature in an empirical direction, estimating and testing a two-country model by maximum likelihood methods.2 This estimation provides several results that could be useful in guiding future theoretical work. The empirical record for earlier classes of macroeconomic models is very mixed. This is especially true with regard to the exchange rate and the current account, key variables for open economy macroeconomics. The current account dynamics of many countries have proved quite difficult to explain in terms of macroeconomic models using present value tests.3 And in a classic result, Meese and Rogoff (1983) showed that a range of macroeconomic models were unable to beat a random walk in forecasting the nominal exchange rate. Exchange rate movements have proved so problematic that some recent research has recommended abandoning the attempt of explaining them in terms of macroeconomic models (see Flood and Rose, 1999). As a result, it is becoming a familiar practice in NOEM studies to introduce exchange rate movements in a manner other than macroeconomic fundamentals. This often is done by adding an extra term to the uncovered interest rate parity condition (UIP) in the macro model.4 Such a term is motivated by well-documented empirical evidence of strong deviations from UIP,5 and it can be interpreted in a number of different ways: Obstfeld and Rogoff (2002) derive such a term as a currency risk premium which is associated with monetary policy actions; Mark and Wu (1998) and Jeanne and Rose (2002) derive it as a reflection of noise traders and a distribution of exchange rate expectations. In response to the controversy regarding macro models as explanations for the exchange rate and current account, this paper will pay special attention to these two variables. In particular, a maximum likelihood approach is adapted for estimating and evaluating a two-country NOEM model. The U.S. is used as one of these countries, and an aggregate of the remaining G7 is used as the other country. The model is fit to five data series: the exchange rate, current account, output growth, inflation, and interest rate deviations between the two countries. Data are quarterly from 1973:1 to 2000:4. The model shares many features common in NOEM models, including monopolistically competitive firms, sluggish price setting, capital accumulation subject to adjustment costs, and monetary policy in the form of interest rate setting rules. The procedure will estimate various deep parameters of interest in the theoretical literature. There will be five shocks to the system, including technology, monetary policy, consumption tastes, and the share of home bias in preferences; the fifth shock will be to the interest rate parity condition. The estimation procedure will also estimate the degree of correlation between the four structural shocks and the deviations from UIP. Results indicate that the model as equipped above is able to explain the exchange rate and current account to some degree, in that it can beat a random walk in one-step ahead in-sample predictions. It is not able to beat a standard vector autoregression in terms of predictions for the exchange rate and current account, although the overall fit of the model is superior to the VAR when the latter is appropriately penalized for its larger set of free parameters. Parameter estimates are able to help address some current controversies in the theoretical NOEM literature. One such controversy deals with the nature of price stickiness. While Betts and Devereux (2000) have argued that stickiness in the local currency of the buyer improves the model's ability to explain certain stylized facts regarding the exchange rate, Obstfeld and Rogoff (2000) have argued the opposite case. The model here permits both types of price stickiness to coexist, where the share is a parameter that can be estimated. Estimates indicate that a very high degree of local currency pricing is needed to successfully explain exchange rate movements in this data set. A second controversy regards the nature of household preferences, in particular, whether there is a unitary elasticity of substitution between home and foreign goods. This highly convenient assumption has become common practice in the theoretical literature, although it stands in contrast to empirical studies based on micro-level evidence. The estimates of this elasticity in the present paper offer empirical evidence from macro-level data which support this common practice in the theoretical literature. Further, it has become common practice in NOEM models to impose stationarity on the net foreign asset position by specifying a country premium on interest rates, where this premium has a positive relationship to net foreign debt. The estimation exercise here offers an estimate for the parameter characterizing this positive relationship, which could prove useful as a basis for calibrations in future theoretical work. Estimates also offer some new insights into the nature of deviations from uncovered interest rate parity (UIP). Results indicate that UIP deviations are not very closely related to monetary policy actions, contrary to a hypothesis in some theoretical NOEM work. However, these deviations are very highly correlated with shocks to marginal utility (taste shocks). Surprisingly, it appears that UIP shocks are even more important for explaining movements in the current account than the exchange rate. This may indicate that current account movements are determined in large part by financial shocks, which affect capital account flows, and thereby force current account adjustments through the balance of payments identity. This idea is quite different from the usual NOEM theory of the current account, as simply reflecting optimal saving and investment decisions, and it suggests a useful avenue for future research.

This paper has advanced the New Open Economy Macroeconomic literature in an empirical direction, fitting a two-country model by maximum likelihood to data from the U.S. and an aggregate of the remaining G7. The model fits reasonably well, in that it is able to beat a random walk model for in-sample predictions of the exchange rate and current account, variables of key interest to open economy macroeconomists. The estimated model facilitates empirical answers to a number of interesting questions raised recently in the theoretical literature. For example, it gives empirical support to the assumption of local currency pricing by firms, as well as to the common simplifying assumption of a unitary elasticity of substitution between home and foreign goods. It also provides an estimate for how a country interest rate premium responds to changes in net foreign debt positions, an estimate which might prove useful as a basis for calibrations of future theoretical models. In addition, the exercise indicates that deviations from interest rate parity do not seem to be closely related to monetary policy, as has been hypothesized in recent theory, but that these deviations do seem to be related to shifts in marginal utilities of consumption. Further, the model indicates that such interest rate parity shocks are not especially helpful as independent explanations for exchange rate movements observed in the data. But on the other hand, these shocks are helpful in explaining movements in the current account. It is hoped that this study may prove helpful for discriminating between alternative theoretical models currently being proposed, and for suggesting productive avenues for future theoretical research.