Debt Elastic Interest Rates and Real Exchange Rates
2007/10/02
研討會日期 : 2007-10-02
時間 : 15:00
主講人 : Prof. Ming-jen Chang
地點 : B棟110室
演講者簡介 : Prof. Ming-jen Chang 為國立臺灣大學國際企業學研究所博士（2005）。
現任國立東華大學國際經濟學研究所助理教授。
其主要研究領域為國際金融、貨幣理論、經濟成長、財務等。
演講摘要 : This study first lays out a theoretical model for analyzing the dynamics of both external debt liability and real exchange rate in a small open economy. We use a dynamic general equilibrium model with endogenized real interest rates to construct our basic framework. In particular, the real interest rate is presumed to depend upon the defaultable risk of external debt liability (Schmitt-Grohe and Uribe, 2003). Fitting to Mexico data, the quarterly foreign debts are estimated by the accumulated stocks of debt liabilities (Lane and Milesi-Ferretti, 2001). We apply the Johansen procedure for cointegration to test the rank of the matrix, i.e. output, debt, interest rate and exchange rate of Mexico. The weak exogeneity test is rejected for the whole series except output. Our results also offer support for the facts that unidirectional causality running from exchange rate to both debt and interest rate is statistically significant. Finally, the response patterns of exchange rates are consistent with simple, overshooting dynamic models.
