Money, interest rates, and exchange rates with endogenously segmented asset markets:
This paper analyzes the effects of money injections on interest rates and exchange rates in a model in which agents must pay a Baumol-Tobin style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money only infreq...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2000
|
| Schriftenreihe: | NBER working paper series
7871 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper analyzes the effects of money injections on interest rates and exchange rates in a model in which agents must pay a Baumol-Tobin style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money only infrequently. When the government injects money through an open market operation, only those agents that are currently trading absorb these injections. Through their impact on these agents' consumption, these money injections affect real interest rates and real exchange rates. We show that the model generates the observed negative relation between expected inflation and real interest rates. With moderate amounts of segmentation, the model also generates other observed features of the data: persistent liquidity effects in interest rates and volatile and persistent exchange rates. A standard model with no fixed costs can produce none of these features. |
| Beschreibung: | 33, [6] S. graph. Darst. |
Internformat
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| 520 | |a This paper analyzes the effects of money injections on interest rates and exchange rates in a model in which agents must pay a Baumol-Tobin style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money only infrequently. When the government injects money through an open market operation, only those agents that are currently trading absorb these injections. Through their impact on these agents' consumption, these money injections affect real interest rates and real exchange rates. We show that the model generates the observed negative relation between expected inflation and real interest rates. With moderate amounts of segmentation, the model also generates other observed features of the data: persistent liquidity effects in interest rates and volatile and persistent exchange rates. A standard model with no fixed costs can produce none of these features. | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Foreign exchange rates |x Econometric models | |
| 650 | 4 | |a Interest rates |x Econometric models | |
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| 650 | 4 | |a Market segmentation |x Econometric models | |
| 650 | 4 | |a Monetary policy |x Econometric models | |
| 650 | 4 | |a Money market |x Econometric models | |
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Datensatz im Suchindex
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| id | DE-604.BV035083492 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:08:00Z |
| indexdate | 2024-07-09T21:21:48Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016751704 |
| oclc_num | 45098127 |
| open_access_boolean | 1 |
| owner | DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-19 DE-BY-UBM DE-521 |
| physical | 33, [6] S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | NBER working paper series |
| series2 | NBER working paper series |
| spelling | Alvarez, Fernando 1964- Verfasser (DE-588)12855178X aut Money, interest rates, and exchange rates with endogenously segmented asset markets Fernando Alvarez ; Andrew Atkeson ; Patrick J. Kehoe Cambridge, Mass. National Bureau of Economic Research 2000 33, [6] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier NBER working paper series 7871 This paper analyzes the effects of money injections on interest rates and exchange rates in a model in which agents must pay a Baumol-Tobin style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money only infrequently. When the government injects money through an open market operation, only those agents that are currently trading absorb these injections. Through their impact on these agents' consumption, these money injections affect real interest rates and real exchange rates. We show that the model generates the observed negative relation between expected inflation and real interest rates. With moderate amounts of segmentation, the model also generates other observed features of the data: persistent liquidity effects in interest rates and volatile and persistent exchange rates. A standard model with no fixed costs can produce none of these features. Ökonometrisches Modell Foreign exchange rates Econometric models Interest rates Econometric models Liquidity (Economics) Econometric models Market segmentation Econometric models Monetary policy Econometric models Money market Econometric models Atkeson, Andrew 1961- Verfasser (DE-588)128378166 aut Kehoe, Patrick J. Verfasser (DE-588)124744540 aut Erscheint auch als Online-Ausgabe NBER working paper series 7871 (DE-604)BV002801238 7871 http://papers.nber.org/papers/w7871.pdf kostenfrei Volltext |
| spellingShingle | Alvarez, Fernando 1964- Atkeson, Andrew 1961- Kehoe, Patrick J. Money, interest rates, and exchange rates with endogenously segmented asset markets NBER working paper series Ökonometrisches Modell Foreign exchange rates Econometric models Interest rates Econometric models Liquidity (Economics) Econometric models Market segmentation Econometric models Monetary policy Econometric models Money market Econometric models |
| title | Money, interest rates, and exchange rates with endogenously segmented asset markets |
| title_auth | Money, interest rates, and exchange rates with endogenously segmented asset markets |
| title_exact_search | Money, interest rates, and exchange rates with endogenously segmented asset markets |
| title_exact_search_txtP | Money, interest rates, and exchange rates with endogenously segmented asset markets |
| title_full | Money, interest rates, and exchange rates with endogenously segmented asset markets Fernando Alvarez ; Andrew Atkeson ; Patrick J. Kehoe |
| title_fullStr | Money, interest rates, and exchange rates with endogenously segmented asset markets Fernando Alvarez ; Andrew Atkeson ; Patrick J. Kehoe |
| title_full_unstemmed | Money, interest rates, and exchange rates with endogenously segmented asset markets Fernando Alvarez ; Andrew Atkeson ; Patrick J. Kehoe |
| title_short | Money, interest rates, and exchange rates with endogenously segmented asset markets |
| title_sort | money interest rates and exchange rates with endogenously segmented asset markets |
| topic | Ökonometrisches Modell Foreign exchange rates Econometric models Interest rates Econometric models Liquidity (Economics) Econometric models Market segmentation Econometric models Monetary policy Econometric models Money market Econometric models |
| topic_facet | Ökonometrisches Modell Foreign exchange rates Econometric models Interest rates Econometric models Liquidity (Economics) Econometric models Market segmentation Econometric models Monetary policy Econometric models Money market Econometric models |
| url | http://papers.nber.org/papers/w7871.pdf |
| volume_link | (DE-604)BV002801238 |
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