0tghrcgovershooting多恩布什超调模型.docx

1、0tghrcgovershooting多恩布什超调模型、 .1 我们打败了敌人。 我们把敌人打败了。 Dornbuschs Overshooting Model After Twenty-Five YearsSecond Annual IMF Research ConferenceMundell-Fleming LectureKenneth Rogoff1Economic Counselor and Director of the IMF Research DepartmentNovember 30, 2001 (revised January 22, 2002)I. Introduction

2、 It is a great honor to pay tribute here to one of the most influential papers written in the field of International Economics since World War II. Rudiger Dornbuschs masterpiece, Expectations and Exchange Rate Dynamics was published twenty-five years ago in the Journal of Political Economy, in 1976.

3、 The overshooting paper-as everyone calls it-marks the birth of modern international macroeconomics. There is little question that Dornbuschs rational expectations reformulation of the Mundell-Fleming model extended the latters life for another twenty-five years, keeping it in the forefront of pract

4、ical policy analysis.This lecture is divided into three parts. First, I will try to convey to the reader a sense of why Expectations and Exchange Rate Dynamics has been so influential. My goal here is not so much to offer a comprehensive literature survey, though of course there has to be some of th

5、at. Rather, I hope the reader will gain an appreciation of the papers enormous stature in the field and why so much excitement has always surrounded it. To that end, I have also included some material on life in Dornbuschs MIT classroom. The second part of the lecture is a more detached discussion o

6、f the empirical evidence for and against the model, and a thumbnail sketch of the model itself. The final section touches on competing notions of overshooting.II. The Overshooting Model in PerspectiveOne of the first words that comes to mind in describing Dornbuschs overshooting paper is elegant. Po

7、licy economists are understandably cynical about academics preoccupation with theoretical elegance. But Dornbuschs work is a perfect illustration of why the search for abstract beauty can sometimes yield a large practical payoff. It is precisely the beauty and clarity of Dornbuschs analysis that has

8、 made it so flexible and useful. Like great literature, Dornbusch (1976) can be appreciated at many levels. Policymakers can appreciate its insights without reference to extensive mathematics; graduate students and advanced researchers found within it a rich lode of subtleties.A second word to descr

9、ibe the work is path breaking. I will offer some quantitative evidence later, but suffice to say here that literally scores of Ph.D. theses (including my own) have built upon Dornbusch (1976). It is not hyperbole to say that Dornbuschs new view of floating exchange rates reinvigorated a field that w

10、as on its way to becoming moribund, using only dated, discredited models and methods. Dornbusch (1976) inspired fresh thinking and brought in fresh faces into the field. In preparing this lecture, I re-read Maurice Obstfelds superb inaugural Mundell-Fleming lecture from last year (IMF Staff Papers,

11、Vol. 47, 2001). Obstfelds paper spans the whole modern history of international macroeconomics, from Meade to New Open Economy Macroeconomics, but the main emphasis is on Bob Mundells papers. I, and perhaps many other readers, found Obstfelds discussion enlightening in part because we do not have th

12、e same intimate knowledge of Mundells papers that we do of Dornbusch (1976). Mundells profoundly original ideas are, of course, at the core of many things we do in modern international finance, and he was the teacher of many important figures in the field including Michael Mussa, Jacob Frenkel, and

13、Rudiger Dornbusch. Mundell is a creative giant who was thinking about a single currency in Europe back when intergalactic trade seemed like a more realistic topic for research. But the methods and models in Mundells papers are now badly dated, and are not always easy to digest for todays reader (eve

14、n if at the time they seemed a picture of clarity compared to the existing state of the art, Meade (1951). One of the remarkable features of Dornbuschs paper is that todays graduate students can still easily read it in the original and, as I will document, many still do.The reader should understand

15、that as novel as the overshooting model was, Dornbusch was hardly writing in a vacuum. Jo Anna Gray (1976), Stanley Fischer (1977), and Ned Phelps and John Taylor (1977) were all working on closed economy sticky-price rational expectations models at around the same time. Stanley Black (1973) had alr

16、eady introduced rational expectations to international macroeconomics. Dornbuschs Chicago classmate Michael Mussa (my predecessor as Economic Counsellor at the Fund) was also working actively in the area in the time, though he delayed publication of his main piece on the topic until Mussa (1982). Th

17、ere were others who were fishing in the same waters as Dornbusch at around the same time, (e.g., Hans Genberg and Henryk Kierzkowski, 1979). But the elegance and clarity of Dornbuschs model, and its obvious and immediate policy relevance, puts his paper in a separate class from the other internation

18、al macroeconomics papers of its time.-A. Still a Useful Policy ToolA word about New Open Economy Macroeconomics, which Obstfeld surveyed last year; certainly this literature has come to dominate the academic literature on international macroeconomic policy.2 Superficially, of course, most of the new

19、er generation models appear quite different from Dornbuschs model, not least because they introduce rigorous microfoundations for consumer and investor behavior. At the same time, however, they can be viewed as direct descendants. Formally, New Open Economy Macroeconomics attempts to marry the empir

20、ical sensibility of the sticky-price Dornbusch model with the elegant but unrealistic intertemporal approach to the current account.3But even with the inevitable onslaught of more modern approaches, the Dornbusch model is still very much alive today on its own, precisely because it is so clear, simp

21、le and elegant. Lets be honest. If one is in a pinch and needs a quick response to a question about how monetary policy might affect the exchange rate, most of us will still want to check any answer against Dornbuschs model.Dornbuschs variant of the Mundell-Fleming paper is not just about overshooti

22、ng. The general approach has been applied to a host of different problems, including the Dutch disease, the choice of exchange rate regime, commodity price volatility, and the analysis of disinflation in developing countries. It is a framework for thinking about international monetary policy, not si

23、mply a model for understanding exchange rates. But what sold the paper to policymakers, what still sells the paper to graduate students, is overshooting. One has to realize that at the time Dornbusch was writing, the world had just made the transition from fixed to flexible exchange rates, and no on

24、e really understood what was going on. Contrary to Friedmans (1953) rosy depiction of life under floating, exchange rate changes did not turn out to smoothly mirror international inflation differentials. Instead, they were an order of magnitude more volatile, far more volatile than most experts had

25、guessed they would be. Along comes Dornbusch who lays out an incredibly simple theory that showed how, with sticky prices, instability in monetary policy-and monetary policy was particularly unstable during the mid-1970s-could be the culprit, and to a far greater degree than anyone had imagined. Dor

26、nbuschs explanation shocked and delighted researchers because he showed how overshooting did not necessarily grow out of myopia or herd behavior in markets. Rather, exchange rate volatility was needed to temporarily equilibrate the system in response to monetary shocks, because underlying national p

27、rices adjust so slowly. It was this idea that took the paper from being a mere A to an A+. As we shall see, Dornbuschs conjecture about why exchange rates overshoot has proven of relatively limited value empirically, although a plausible case can be made that it captures the effects of major turning

28、 points in monetary policy. But the true strength of the model lies in that it highlights how, in todays modern economies, one needs to think about the interaction of sluggishly adjusting goods markets and hyperactive asset markets. This broader insight certainly still lies at the core of modern thi

29、nking about exchange rates, even if the details of our models today differ quite a bit. Paul Samuelson once remarked that there are very few ideas in economics that are both (a) true and (b), not obvious. Dornbuschs overshooting paper is certainly one of those rare ideas. Now, of course, unless one

30、is steeped in recent economic theory, little of what appears in todays professional economics journals will seem obvious. However, that is only because it takes constant training and retooling to be able to follow the assumptions in the latest papers. Once you can understand the assumptions, what fo

31、llows is usually not so surprising. But this is certainly not the case with the overshooting result, as I will now briefly illustrate.B. Overshooting: The Basic IdeaSince this lecture is aimed at a broad audience, it is not my intention to invoke too many mathematical formulas, though there will be

32、a few. A small number of equations is necessary if only to impress upon the reader how simple the concept really is. The reader can easily skip over them.Two relationships lie at the heart of the overshooting result. The first, equation (1) below, is the uncovered interest parity condition. It says that the home interest rate on bonds, i, must equal the foreign interest rate i*, plus the expected rate of depreciation of the exchange rate, Et (et+1 - et), where e is the logarithm of the exchan