نقش دارایی های خارجی خالص در یک مدل اقتصاد باز کوچک جدید کینزی

This paper develops a small open economy, sticky-price model that determines a unique, stable long-run asset position for households as function of their incentive to anticipate or postpone consumption and labor effort across periods. This is accomplished by adopting an overlapping-generations structure in which new households with no assets enter the economy in each period. The same characteristics of household behavior that determine long-run assets are also important determinants of the model's responses to shocks. Stabilizing producer prices results in a milder recession following a drop in world demand than stabilizing consumer prices because it prevents the markup in the pricing of goods from increasing. In addition, given an initial foreign debt, allowing consumer prices to rise causes a decrease in the ex post real interest rate on impact, lowering the interest burden of the initial debt. The differences across policy rules generated by the initial asset position are robust to changes in the latter as long as these are brought about by changes in parameter values that do not alter the fundamental characteristics of household (and firm) behavior that are also the key determinants of long-run assets.

What determines long-run net foreign asset positions? How does asset accumulation affect the propagation of shocks under alternative specifications of monetary policy? This paper develops a small open economy, sticky-price model that addresses these questions. The determination of long-run net foreign asset positions is an important question in international macroeconomics for empirical and theoretical reasons. Lane and Milesi-Ferretti, 2001, Lane and Milesi-Ferretti, 2002a and Lane and Milesi-Ferretti, 2002b provide evidence of non-zero, long-run net foreign assets for a number of countries. Therefore, it is important to understand the determinants of such positions, and how these persistent imbalances and their determinants may influence dynamics in response to shocks. From a theoretical standpoint, it is common practice in international macroeconomics to solve models by log-linearizing them around the deterministic steady state – of which net asset holdings are a central component. However, absent appropriate modifications, familiar representative agent models fail to pin down a unique steady-state level of net foreign assets. Once log-linearized around an initial position that is usually chosen as a matter of convenience, these models result in non-stationary dynamics following temporary shocks, with unfavorable consequences for the reliability of the log-linearization and the feasibility of stochastic analysis.1 This paper develops a small open economy, sticky-price model that determines a unique, stable long-run asset position for the economy by changing the demographic structure relative to the familiar representative agent framework. The model follows Weil, 1989a and Weil, 1989b in assuming that the world economy is populated by distinct, infinitely lived households that come into being on different dates and are born owning no assets. This demographic structure, combined with the assumption that newly born agents have no financial wealth, generates a unique, endogenously determined steady state to which the world economy returns over time following non-permanent shocks. The model, which extends the Weil setup to allow for endogenous labor supply and differences in income across agents of different generations at each point in time, makes it possible to provide a structural interpretation of the determination of long-run asset positions based on the incentives of individual households to anticipate or postpone consumption and labor effort across periods. If the world real interest rate, the subjective discount factor of home households, and other characteristics of the period utility function are such that the steady-state consumption and labor supply profiles of individual home households display upward and downward tilts, respectively, home households accumulate a positive steady-state asset balance.2 To illustrate the functioning of the model, I set structural parameters to values that are common in the literature and show that the model delivers plausible predicted long-run properties. I then analyze how a decrease in world demand is transmitted to the home economy under alternative price stability rules.3 The exercise highlights the role of both asset holdings and markup dynamics in the transmission of shocks. Stabilizing producer prices results in a milder recession following a drop in world demand than a rule that stabilizes consumer prices for two reasons. First, it prevents a markup increase that has unfavorable effects on factor demands when the policymaker targets consumer prices. Second, given an initial foreign debt, stabilizing producer prices and allowing consumer prices to rise after the shock ameliorates the consequences of the recession by causing a decrease in the ex post real interest rate on impact, thus lowering the interest burden of the initial debt in the period of the shock. Studying dynamics for different initial asset holdings shows that the differences across price stability rules generated by the initial asset position are robust to changes in the latter as long as these are brought about by changes in parameter values that do not alter the fundamental characteristics of household (and firm) behavior that are also the key determinants of long-run assets. By including monopolistic competition and sticky prices, this paper contributes to the recent literature on New Keynesian, open economy models, much of which de-emphasizes the role of asset accumulation in favor of analytical tractability, with the analysis of a New Keynesian model in which asset accumulation plays an important role. Scholars of international macroeconomics had soon recognized the indeterminacy/non-stationarity problem of the standard representative agent model as developed in Obstfeld and Rogoff's (1995) seminal article. Determinacy of the steady state and stationarity fail in the model because the average rate of growth of consumption implied by the Euler equation does not depend on average holdings of net foreign assets. Hence, setting consumption to be constant does not pin down steady-state asset holdings. This makes the choice of the economy's initial position for the purpose of analyzing the consequences of a shock a matter of convenience, with the unfavorable consequences mentioned above. Some scholars decided to dismiss the issue.4 Others tried to finesse it in various ways. For example, Corsetti and Pesenti (2001) build on insights in Cole and Obstfeld (1991) and develop a version of the Obstfeld–Rogoff model in which the intratemporal elasticity of substitution between domestic and foreign goods in consumption is equal to one. Under this assumption, the current account does not react to shocks if the initial net foreign asset position is zero, and thus net foreign asset accumulation plays no role in the international business cycle. The dynamics of the terms of trade are the centerpiece of international adjustment in Corsetti and Pesenti's model. Nevertheless, the Corsetti–Pesenti setup shares the indeterminacy of the steady state with the original Obstfeld–Rogoff model. There too, setting consumption to be constant does not pin down steady-state asset holdings, for the same reason mentioned above. The choice of a zero-asset initial equilibrium, combined with the assumption on the elasticity of substitution between domestic and foreign goods, allows Corsetti and Pesenti to (de facto) shut off the current account channel. This makes stochastic analysis possible in a highly tractable framework, but at a cost in terms of realism. Any initial asset position that differs from zero brings the non-stationarity back to the surface. But the assumption that fluctuations happen around a steady state with non-zero assets is reasonable given the evidence in Lane and Milesi-Ferretti, 2001, Lane and Milesi-Ferretti, 2002a and Lane and Milesi-Ferretti, 2002b. In addition, the trade literature abounds with estimates significantly above one for the elasticity in question ( Feenstra, 1994; Harrigan, 1993; Lai and Trefler, 2002; Shiells et al., 1986). An alternative way of dealing with the non-stationarity problem by de-emphasizing the role of net foreign asset dynamics in the transmission of shocks consists of assuming that financial markets are internationally complete. With complete markets, power utility, and unitary elasticity of substitution between domestic and foreign goods, the current account does not react to shocks in two-country models with zero initial net wealth. If the elasticity of substitution between domestic and foreign goods differs from one, the current account moves in response to output differences (even though perfect risk sharing ensures that the cross-country consumption differential is zero if purchasing power parity (PPP) holds). However, history independence of the equilibrium allocation ensures that net foreign assets are determined residually and their dynamics play no active role in shock transmission.5 Like the Corsetti–Pesenti specification, market completeness yields highly tractable models suitable for stochastic analysis at a cost in terms of realism. As pointed out in Obstfeld and Rogoff (2001), the complete markets assumption is at odds with empirical evidence. Benigno and Thoenissen (2007), Corsetti et al. (2008), and Duarte and Stockman (2005), among others, argue that market incompleteness is a necessary ingredient of models that aim to explain important puzzles in international finance. Entry of new households with no assets in each period solves the determinacy/non-stationarity problem under incomplete markets by introducing a connection between aggregate per capita consumption growth and asset holdings through the discrepancy between the assets of newborn agents (zero) and those of older households. Schmitt-Grohé and Uribe (2003) survey alternative solutions to the issue that rely on representative agent models while preserving a role for the current account. I discuss these approaches below. The main advantages of the approach in this paper are that it does not require any assumption on the functional form of a cost of adjusting asset holdings or an endogenous discount factor and it provides a fully structural interpretation for the determination of long-run asset positions, with implications also for off-steady-state dynamics. The structure of the paper is as follows. Section 2 presents the model. Section 3 analyzes the determination of steady-state assets. Section 4 illustrates model dynamics in response to a decrease in world demand. Section 5 concludes.

This paper developed a small open economy model with incomplete asset markets that solves the problem of steady state determinacy and model non-stationarity by changing the demographic structure from the familiar representative agent framework to an overlapping-generations structure as in Weil, 1989a and Weil, 1989b, in which new infinitely lived households enter the economy at each point in time and are born owning no financial assets. The model extends the original Weil setup (and other work on related overlapping-generations models) to a more general class of preferences, which allows for differences in endogenous labor income across agents of different generations and a time-varying consumption-to-wealth ratio. The main advantage over alternative approaches to the issue of steady state determinacy and model non-stationarity is that the model of this paper provides a structural interpretation of the determination of long-run asset positions that does not hinge on special assumptions about costs of adjusting bond holdings, an endogenous discount factor, or the determination of a debt elastic interest premium. By determining long-run assets uniquely as function of the parameters of preferences and technology, the model highlights the connection between characteristics of the steady state and off-steady-state dynamics. Changes in parameter values that alter the long-run asset position even significantly do not imply significant changes in the dynamics of most variables around the respective steady state if they do not alter the fundamental characteristics of optimal agent behavior (such as the agents’ desire to anticipate or postpone consumption and labor effort). By incorporating nominal rigidity, this paper also complements the recent literature on New Keynesian, open economy models that de-emphasize the role of net foreign asset dynamics. The analysis of shock transmission highlights the role of asset positions and markup dynamics in generating different dynamics under alternative monetary policy rules.