Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

Suleyman Basak and Michael Gallmeyer

Weiss Center Working Papers from Wharton School - Weiss Center for International Financial Research

Abstract: This paper examines a continuous-time two country dynamic monetary equilibrium in which countries with possible heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via the money in the utility function. Given a price system, no-arbitrage pricing results are provided for the price of each money and the nominal exchange rate. Characterizations are provided for equilibrium prices for general time-additive preferences and non-Markovian exogenous processes.

Keywords: PRICING; CURRENCIES; ECONOMIC EQUILIBRIUM; EXCHANGE RATE (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Pages: 28 pages
Date: 1998
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Related works:
Journal Article: Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium (1999)
Working Paper: Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
Working Paper: Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pennif:98-04

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