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Money Supply Growth and Exchange Rate Dynamics
Levin, Jay H. 세종대학교 국제경제연구소 1997 Journal of Economic Integration Vol.12 No.3
The purpose of this paper is to re-examine the issue of exchange rate dynamics when the central bank undertakes a change in the growth rate of the money supply. The original analysis of exchange rate dynamics, the seminal model of Dornbusch, assumed that the growth rate of the money supply was zero and that the central bank permanently changed the money stock. In reality, however, central banks typically maintain money supply growth targets rather than money stock targets. Therefore, it seems appropriate to re-examine the issue of exchange rate dynamics using the money supply growth rate as the central bank's policy instrument. The paper analyzes the problem using a variable output version of the Dornbusch model. Perhaps the most significant finding in the paper is that money supply growth causes the exchange rate to either overshoot or undershoot. In addition, the real exchange rate depends inversely on the real interest rate during part of the adjustment process, in contrast to the real interest differential model. (JEL Classification: F41)
The Dornbusch Model, Trade Flow Lags, and Exchange Rate Overshooting
Levin, Jay H. 세종대학교 국제경제연구소 1987 Journal of Economic Integration Vol.2 No.1
This paper reconsiders the exchange rate overshooting proposition first advanced in Dornbusch's seminal work on exchange rate dymanics. The basic findings that monetary expansion causes exchange rate overshooting and that fiscal expansion does not are reconsidered in the context of Dornbusch's model modified to allow trade flows to respond with a lag to movements in the exchange rate. It turns out that, because of the trade flow lags, fiscal expansion always produces exchange rate overshooting(as does monetary expansion, as expected). This suggests that fiscal policy may be a more important source of exchange rate variability that is commonly believed.