Non-rational Beliefs in Small Open Economy Models

主    讲：杜清源（澳大利亚莫纳什大学）

主    持：刘  青（中国人民大学国家发展与战略研究院）

时    间：2019年11月18日（周一）10:00-11:30

地    点：中国人民大学崇德西楼（原科研楼A座）916会议室

摘要：New Keynesian open economy models under rational expectations often fail to generate exchange rate volatility and comovement between countries. In this paper, we investigate whether non-rational beliefs can help explain international prices and comovement. In theory, we derive a generalized no-arbitrage condition under arbitrary beliefs, which relaxes standard uncovered interest rate parity (UIP henceforth) condition and implies a different exchange rate dynamics as in rational expectations models. Empirically, models with non-rational beliefs generate higher exchange rate volatility, however, they do not fit data better than rational expectations models when explaining comovement.

主讲人简介：杜清源，2011年博士毕业于美国哥伦比亚大学经济系，现任澳大利亚莫纳什大学助理教授。主要研究领域包括国际经济学，宏观经济学，发展经济学以及中国经济。曾在Journal of International Economics, European Economic Review, Journal of International Money and Finance, Economics Letters以及金融研究发表论文。