哈佛大学教授KENNETH S. ROGOFF 论文之七 Risk and Exchange Rates

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汇率和风险，Risk and Exchange Rates，Maurice Obstfeld，Kenneth Rogoff，发表于February 15, 2001，

Abstract

This paperdevelops an explicitly stochastic new open economy macroeconomics'model, which can potentially be used to explore the qualitative andquantitative welfare differences between alternative exchange rateregimes. A crucial feature is that we do not simplify by assumingcertainty equivalence for producer price setting behavior. Ourframework also provides a sticky-price alternative to Lucas's (1982)exchage rate risk premium model. We show that the level risk premium'in the exchage rate is potentially quite large and may be an importantmissing fundamental in empirical exchange rate equations. As abyproduct analysis also suggests an intriguing possible explanation ofthe forward premium puzzle.

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关键词：exchange Kenneth Exchang 哈佛大学教授 Rogoff Kenneth Maurice Obstfeld Rogoff

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