Keeping up with the Joneses and Exchange Rate Volatility in a Redux Model
2010/01/12
研討會日期 : 2010-01-12
時間 : 14:30
主講人 : 張銘仁助理教授
地點 : B110
演講者簡介 : 張銘仁教授為Ph.D. in International Business，National Taiwan University (2005)。現為東華大學經濟系助理教授。其主要研究領域為國際金融、財務工程、總體經濟及貨幣理論。
演講摘要 : By incorporating a keeping-up-with-the-Joneses preference into the Redux model, this paper sketches the implications of a consumption externality for the short-run and long-run equilibria, with a particular emphasis on exchange rate volatility. We show that the size of the consumption externality plays a crucial role in terms of affecting the long-run (under flexible prices) and short-run (under sticky prices) effects of important economic variables, whereas there is no exchange rate overshooting even in the presence of keeping up with the Joneses. A novel result is that keeping up with the Joneses has the effect of magnifying the impact of monetary shocks on the exchange rate; it then increases the ability of monetary shocks to explain the high observed volatility in exchange rates. Besides, a simple numerical analysis is conducted to further show that the exchange rate volatility is raised by an increasing rate as the size of the consumption externality increases
