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  1. Mussa Puzzle Redux
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: 2021
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    The Mussa (1986) puzzle is the observation of a sharp and simultaneous increase in the volatility of both nominal and real exchange rates following the end of the Bretton Woods System of pegged exchange rates in 1973. It is commonly viewed as a... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    The Mussa (1986) puzzle is the observation of a sharp and simultaneous increase in the volatility of both nominal and real exchange rates following the end of the Bretton Woods System of pegged exchange rates in 1973. It is commonly viewed as a central piece of evidence in favor of monetary non-neutrality because it is an instance in which a change in the monetary regime caused a dramatic change in the equilibrium behavior of a real variable (the real exchange rate) and is often further interpreted as direct evidence in favor of models with nominal rigidities in price setting. This paper shows that the data do not support this latter conclusion because there was no simultaneous change in the properties of the other macro variables, nominal or real. We show that an extended set of Mussa facts equally falsifies both conventional flexible-price RBC models and sticky-price New Keynesian models as explanations for the Mussa puzzle. We present a resolution to the broader Mussa puzzle based on a model of segmented financial market -- a particular type of financial friction by which the bulk of the nominal exchange rate risk is held by financial intermediaries and is not shared smoothly throughout the economy. We argue that rather than discriminating between models with sticky versus flexible prices, or monetary versus productivity shocks, the Mussa puzzle provides sharp evidence in favor of models with monetary non-neutrality arising in the financial market, suggesting the importance of monetary transmission via the risk premium channel

     
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    Schriftenreihe: NBER working paper series ; no. w28950
    Schlagworte: Wechselkurs; Neutralität des Geldes; Währungssystem; Wechselkurstheorie
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  2. Optimal policy under dollar pricing
    Autor*in: Egorov, Konstantin; Mukhin, Dmitry
    Erschienen: April 2020
    Verlag:  CEFIR, Moscow

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    Schriftenreihe: NES working paper series ; no. 261
    Schlagworte: Preiskonvergenz; Preisrigidität; US-Dollar; Geldpolitik; Inflationssteuerung; Internationale Wirtschaftspolitik; Fester Wechselkurs; Theorie; Welt
    Umfang: 1 Online-Ressource (circa 82 Seiten)
  3. Optimal policy under dollar pricing
    Autor*in: Egorov, Konstantin; Mukhin, Dmitry
    Erschienen: October 24, 2021
    Verlag:  CFM, Centre for Macroeconomics, London

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    Schriftenreihe: CFM discussion paper series ; CFM-DP 2021, 24
    Umfang: 1 Online-Ressource (circa 88 Seiten), Illustrationen
  4. Sanctions and the exchange rate
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: May 2, 2022
    Verlag:  CFM, Centre for Macroeconomics, London

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    Schriftenreihe: CFM discussion paper series ; CFM-DP 2022, 06
    Schlagworte: Sanktion; Wechselkurs; Wechselkurstheorie
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  5. Sanctions and the exchange rate
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: 04 May 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17277
    Schlagworte: sanctions; Exchange rate; currency; Capital Flows; financial repression
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  6. Optimal policy under dollar pricing
    Autor*in: Egorov, Konstantin; Mukhin, Dmitry
    Erschienen: May 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets,... mehr

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    Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time-or state-dependent price setting, a rich set of shocks, and endogenous currency choice. We show that although monetary policy is less efficient and cannot implement the flexible-price allocation, inflation targeting remains robustly optimal in non-U.S. economies. The implementation of this non-cooperative policy results in a "global monetary cycle" with other countries partially pegging their exchange rates to the dollar and importing the monetary stance of the U.S. In spite of the aggregate demand externality, capital controls cannot unilaterally improve the allocation and are useful only when coordinated across countries. The optimal U.S. policy, on the other hand, deviates from inflation targeting to take advantage of its effects on global product and asset markets, generating negative spillovers on the rest of the world. International cooperation benefits other countries by improving global demand for dollar-invoiced goods, but may be hard to sustain because it is not in the self-interest of the U.S. At the same time, countries can still gain from local forms of policy coordination - such as forming a currency union like the Eurozone.

     
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    Weitere Identifier:
    hdl: 10419/217023
    Schriftenreihe: CESifo working paper ; no. 8272 (2020)
    Schlagworte: Preiskonvergenz; Preisrigidität; US-Dollar; Geldpolitik; Inflationssteuerung; Internationale Wirtschaftspolitik; Fester Wechselkurs; Theorie; Welt
    Umfang: 1 Online-Ressource (circa 83 Seiten)
  7. Optimal policy under dollar pricing
    Autor*in: Egorov, Konstantin; Mukhin, Dmitry
    Erschienen: [2023]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general... mehr

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    Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time- or state-dependent price setting, and a rich set of shocks. We show that although monetary policy is less eftcient and cannot implement the flexible-price allocation, inflation targeting and a floating exchange rate remain robustly optimal in non-U.S. economies. The capital controls cannot unilaterally improve the allocation and are useful only when coordinated across countries. Thanks to the dominance of the dollar, the U.S. can extract rents in international goods and asset markets and enjoy a higher welfare than other economies. Although international cooperation beneffts other countries by improving global demand for dollar-invoiced goods, it is not in the self-interest of the U.S. and may be hard to sustain.

     
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    hdl: 10419/268405
    Schriftenreihe: SAFE working paper ; no. 377 (January 2023)
    Umfang: 1 Online-Ressource (circa 93 Seiten), Illustrationen
  8. Mussa puzzle redux
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: 27 June 2021
    Verlag:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP16301
    Schlagworte: exchange rate regimes; monetary non-neutrality; segmented financial markets; Monetary transmission Mechanism
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  9. Sanctions and the Exchange Rate
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: April 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We show that the exchange rate may appreciate or depreciate depending on the specific mix of sanctions imposed, even if the underlying equilibrium allocation is the same. Sanctions that limit a country's imports tend to appreciate the country's... mehr

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    Universitätsbibliothek Freiburg
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    We show that the exchange rate may appreciate or depreciate depending on the specific mix of sanctions imposed, even if the underlying equilibrium allocation is the same. Sanctions that limit a country's imports tend to appreciate the country's exchange rate, while sanctions that limit exports and/or freeze net foreign assets tend to depreciate it. Increased precautionary household demand for foreign currency is another force that depreciates the exchange rate, and it can be offset with domestic financial repression of foreign currency savings. The overall effect depends on the balance of currency demand and currency supply forces, where exports and official reserves contribute to currency supply and imports and foreign currency precautionary savings contribute to currency demand. Domestic economic downturn and government fiscal deficits are additional forces that affect the equilibrium exchange rate. The dynamic behavior of the ruble exchange rate following Russia's military invasion of Ukraine in February 2022 and the resulting sanctions is entirely consistent with the combined effects of these mechanisms

     
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    Schriftenreihe: NBER working paper series ; no. w30009
    Schlagworte: Sanktion; Ausfuhrverbot; Wechselkurs; Rubel; Krieg; Russland; Ukraine; Wechselkurstheorie
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  10. Optimal exchange rate policy
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: December 2023
    Verlag:  CESifo, Munich, Germany

    We develop a general policy analysis framework for an open economy that features nominal rigidities and financial frictions giving rise to endogenous PPP and UIP deviations. The efficient allocation can be implemented with monetary policy closing the... mehr

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    We develop a general policy analysis framework for an open economy that features nominal rigidities and financial frictions giving rise to endogenous PPP and UIP deviations. The efficient allocation can be implemented with monetary policy closing the output gap and FX interventions eliminating UIP deviations. When the "natural" real exchange rate is stable, both goals can be achieved solely by monetary policy that fixes the exchange rate - an open-economy divine coincidence. More generally, optimal policy features a managed float/crawling peg complemented with FX forward guidance and macroprudential accumulation of FX reserves, in line with the "fear of floating" observed in the data. Capital controls are not necessary to achieve the frictionless allocation, but they facilitate the extraction of rents in the currency market. Constrained unilateral policies are not optimal from the global perspective, and international cooperation features a complementary use of FX interventions across countries.

     
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    hdl: 10419/282525
    Schriftenreihe: CESifo working papers ; 10837 (2023)
    Schlagworte: Wechselkurspolitik; Geldpolitik; Kleine offene Volkswirtschaft; Theorie
    Umfang: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  11. Optimal Exchange Rate Policy
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: December 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We develop a general policy analysis framework for an open economy that features nominal rigidities and financial frictions giving rise to endogenous PPP and UIP deviations. The efficient allocation can be implemented with monetary policy closing the... mehr

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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We develop a general policy analysis framework for an open economy that features nominal rigidities and financial frictions giving rise to endogenous PPP and UIP deviations. The efficient allocation can be implemented with monetary policy closing the output gap and FX interventions eliminating UIP deviations. When the "natural" real exchange rate is stable, both goals can be achieved solely by monetary policy that fixes the exchange rate -- an open-economy divine coincidence. More generally, optimal policy features a managed float/crawling peg complemented with FX forward guidance and macroprudential accumulation of FX reserves, in line with the "fear of floating" observed in the data. Capital controls are not necessary to achieve the frictionless allocation, but they facilitate the extraction of rents in the currency market. Constrained unilateral policies are not optimal from the global perspective, and international cooperation features a complementary use of FX interventions across countries

     
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    Schriftenreihe: NBER working paper series ; no. w31933
    Schlagworte: Wechselkurspolitik; Geldpolitik; Kleine offene Volkswirtschaft; Theorie; General; General; General
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  12. What Drives the Exchange Rate?
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: December 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We use a general open-economy wedge-accounting framework to characterize the set of shocks that can account for major exchange rate puzzles. Focusing on a near-autarky behavior of the economy, we show analytically that all standard macroeconomic... mehr

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    We use a general open-economy wedge-accounting framework to characterize the set of shocks that can account for major exchange rate puzzles. Focusing on a near-autarky behavior of the economy, we show analytically that all standard macroeconomic shocks -- including productivity, monetary, government spending, and markup shocks -- are inconsistent with the broad properties of the macro exchange rate disconnect. News shocks about future macroeconomic fundamentals can generate plausible exchange rate properties. However, they show up prominently in contemporaneous asset prices, which violates the finance exchange rate disconnect. International shocks to trade costs, terms of trade and import demand, while potentially consistent with disconnect, do not robustly generate the empirical Backus-Smith, UIP and terms-of-trade properties. In contrast, the observed exchange rate behavior is consistent with risk-sharing (financial) shocks that arise from shifts in demand of foreign investors for home-currency assets, or vice versa

     
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    Schriftenreihe: NBER working paper series ; no. w32008
    Schlagworte: Offene Volkswirtschaft; Schock; Internationale Konjunktur; Wechselkurs; Wechselkurstheorie; Foreign Exchange; Open Economy Macroeconomics; International Business Cycles
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  13. Exchange rate disconnect in general equilibrium
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: May 2017
    Verlag:  National Bureau of Economic Research, Cambridge, MA

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    Schriftenreihe: Working paper series / National Bureau of Economic Research ; 23401
    Schlagworte: Wechselkurstheorie; Dynamisches Gleichgewicht; Kaufkraftparität; Korrelation; Theorie; puzzles
    Umfang: 90 Seiten, Illustrationen
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