在傳統的宏觀金融模型中，最具代表性的觀點認爲匯率變動是逆周期性的。其原理是匯率等於每個國家代表性投資者邊際效用與消費之比。然而，我們的研究發現這一預測與事實相悖：在許多國家中，（實際）匯率與經濟產出、消費增長呈正相關。本研究提供了一個模型，重點研究匯率的周期性行爲如何隨經濟衝擊的來源而變化。該模型的一個關鍵特征是不完全市場，在整體消費和平均投資者邊際效用之間引入了一個差額。我們同時引入了匯率貶值與稟賦經濟模型的最小偏差假設：繁榮時期創造出的新資源只會隨機分配給人口的一小部分。模型結果顯示，平均投資者的邊際效用可能上升，導致實際匯率升值。我們校準的模型能夠很好地覆制數據的關鍵特征，尤其是匯率、股票回報率、實際產出和消費增長以及貿易流量的聯合動態。

研究詳情鏈接：A Model of Pro-Cyclical Exchange Rates

A Model of Pro-Cyclical Exchange Rates∗

Exchange rates in the standard macro-finance model with a representative agent are counter-cyclical. The reason is that exchange rates are equal to the ratio of marginal utilities of consumption of the representative investor in each country. This prediction is counterfactual: across a variety of countries, (real) exchange rates are, on average, positively correlated with output and consumption growth. We provide a model in which the cyclical behavior of exchange rates varies with the source of the economic shocks. A key feature of our model is incomplete markets, which introduces a wedge between consumption and the marginal utility of the average investor. We introduce a minimal deviation from the standard endowment economy model of exchange rate depreciation: in a boom, new trees are created, but they are randomly distributed to a small part of the population. As a result, the marginal utility of the average investor can rise, leading to an appreciation of the real exchange rate. Our calibrated model does a good job replicating key features of the data, specifically, the joint dynamics of exchange rates, stock returns, real output and consumption growth, and trade flows.

Research Paper Link：A Model of Pro-Cyclical Exchange Rates