期刊-NBER美国国民经济研究局-Winter1996-97_1_27页_2mb

NBER Reporter Summary - Winter 1996/7

Core Content

The NBER Reporter for the Winter 1996/7 issue highlights the latest research and developments in the Program in International Finance and Macroeconomics (IFM). The report focuses on key topics in international finance and macroeconomics, including real exchange rates, speculative attacks, capital flows, and the implications of fixed versus flexible exchange rate regimes.

Main Research Areas

1. Real Exchange Rates

• Researchers have revisited the concept of purchasing power parity (PPP) and its long-run validity.
  • Froot and Rogoff found that deviations from PPP have a half-life of around four years.
  • Cumby showed even faster convergence using Big Mac price data.
  • Engel and Taylor questioned the robustness of PPP evidence, suggesting it may vary by era.
• Real exchange rate fluctuations are influenced by factors such as government spending, productivity trends, and demand shocks.
  • Chinn and Johnston, Canzoneri, Cumby, Diba, and De Gregorio & Wolf provided evidence on these determinants.
• Price stickiness and menu costs have been studied using data from The Economist magazine.
  • Engel and Rogers found that price disparities within regions are more likely to converge than between countries.

2. Speculative Attacks

• The international financial system has seen three major waves of speculative attacks:
  • 1992 attacks on the European Monetary System (EMS) led to devaluations and the exit of several countries from fixed exchange rate arrangements.
  • 1994-5 saw Mexico's peso devaluation and the "Tequila Effect" in Latin America.
• Researchers have analyzed the mechanisms and implications of these attacks:
  • Self-fulfilling crises have been a key focus, with work by Obstfeld, Eichengreen, Wyplosz, and others.
  • Some attacks were driven by economic fundamentals, while others were due to policy inconsistencies.
  • Contagion effects were observed, with attacks spilling over to other countries depending on trade links.

3. Capital Flows and Controls

• The resumption of capital flows to Latin America in the early 1990s marked the end of the 1980s debt crisis.
• Research has explored the role of capital controls and their impact on capital flows and economic stability.
  • Models by Bartolini and Drazen suggest that removing capital controls can lead to capital inflows.
  • Razin and Yuen found that capital controls can influence the Phillips curve.
• Tobin taxes have been discussed as a potential tool to regulate foreign exchange transactions, though enforcement is challenging.

4. Fixed vs. Flexible Exchange Rates

• Fixed exchange rate regimes are highly unstable and often lead to crises.
• Inflation targeting has emerged as a promising alternative, with Lars Svensson leading the research.
• The European Economic and Monetary Union (EMU) has become a focal point for studying the role of monetary policy in stabilizing economies.

5. International Financial Markets

• The forward discount premium puzzle remains a central issue, where high-interest-rate countries experience currency appreciation instead of depreciation.
  • Backus, Foresi, and Telmer found it difficult to rationalize this with standard models.
  • Elliott and Ito argued that the profits from high-interest-rate investments are small and variable.
• The home market bias in asset stocks is another key topic, with researchers like Baxter and Jermann showing that investors tend to hold too many domestic securities.
  • Lewis, Taylor, and others suggest that while international risk sharing is limited, it may not deviate significantly from optimal conditions.

Key Figures and Contributions

• Martin Feldstein serves as the President and CEO of NBER.
• Andrew K. Rose is the author of the Program Report and has contributed significantly to the analysis of real exchange rates and speculative attacks.
• Glen G. Cain, Robert S. Hamada, and others have contributed to various aspects of the IFM program.
• NBER Working Papers and Books have been central to the research, with many studies published in journals and handbooks like the Handbook of International Economics.

Conferences and Activities

• The IFM Program is actively involved in various conferences and seminars, including:
  • NBER Summer Institute
  • International Seminar on Macroeconomics
  • East Asian Seminar on Economics
  • Inter-American Seminar on Economics
• In 1996, Robert Hodrick organized the NBER-Universities Research Conference on the "Determination of Exchange Rates."

Additional Notes

• The NBER website provides access to over 5000 working papers, books, and research databases.
• The third volume of the Handbook of International Economics includes contributions from many IFM researchers.
• The NBER Reporter is not copyrighted and can be freely reproduced with proper attribution.

Summary of Research Themes

• Empirical analysis of real exchange rates and their long-run determinants.
• Speculative attacks and their role in financial crises and contagion.
• Capital flows and controls as tools for economic stability.
• Fixed exchange rates and their limitations.
• Inflation targeting and its implications for monetary policy.
• International financial market anomalies such as the forward discount puzzle and home market bias.

Conclusion

The IFM Program continues to be a vital hub for research on international finance and macroeconomics, addressing both traditional and contemporary issues. The focus has shifted towards understanding the mechanisms behind financial crises, capital flows, and the effectiveness of alternative monetary policies, especially in the context of Latin America and Europe.