前期授業計画担当田端克至（ http://homepage3.nifty.com/ykteconpr

担当
前期授業計画
田端克至（http://homepage3.nifty.com/ykteconpr/）
目的
金融グローバリゼーション、経済・金融の統合化、中国の躍進、IT 産業の躍進など、世界経
済は大きく変化しており、国際マクロ経済学もそれに、応じて、新しい議論が登場してきてい
る。本科目は、前期はこうした、議論を分析する上で必要なツールを中心に論じ、後半では、
一体どのような変化が生じているのか、踏み込んで解説する。
前期は、国際マクロ経済学の議論と分析ツールを中心に、論じることで、基礎的分析能力を
確立する。後期は、オープンマクロ経済学（Redux、WELFARE 分析、ターゲットゾーン）な
どの新しい流れを解説していくが、前期中に、これが理解できる程度の基礎的知識を習得する。
教科書（とりあえず）
Nelson C. Mark ; International Macroeconomics and Finance,
Blackwell Publishers 2001
補助テキスト
Obstfeld and Rogoff ; Foundation of International Macroeconomics MIT Press 1996
特に、後期につながる議論としては１０章が参考になる。
学部レベルの教科書先端的議論まで組入れたものに、
Burda and Wyplosz . Macroeconomics. Oxford university press 2001
先端的な実証分析を取り入れた教科書
Carlo A. Favero； Applied Macroeconometrics
がある。この内容は一部授業で触れることにする。
第１回授業；
ドル通貨体制が直面する構造問題
Monetary Model ； Nelson CH３
第２回授業；
Lucas Model （１）
； Nelson CH４
第３回授業；
Lucas Model
（２）
； Nelson CH５
第 4 回授業（連休あけ）
International Real Business Cycles（１）；CH6
第５回授業
International Real Business Cycles（２）とカリブレーション分析
第 6 回授業（実証へのツール補論１）
Unit, Cointegration と MacDonald−Taylor Test
第７回授業（実証へのツール補論２）
Unit, Cointegration と MacDonald−Taylor Test
第８回授業
確率的 Mundell−Fleming Model（１）
第 9 回授業
確率的 Mundell−Fleming Mode（２）
第１０回授業
構造 VAR モデルによる実証分析
→Redux モデルへ（後期）
1
；CH6
Reading List
サーベイ
１．為替レートのモデル分析
Maurice Obstfeld and Alan Stockman, "Exchange-Rate Dynamics," R. Jones and P. Kenen
(eds.), Handbook of International Economics, Vol II, Amsterdam: North-Holland, 1985 ； 80
年代前半までの為替レート決定理論のサーベイ
（１）モデル
Robert Lucas, "Interest Rates and Currency Prices in a Two-Country World," Journal of
Monetary Economics 10 (1982), 335-60.
Rudiger Dornbusch, "Expectations and Exchange Rate Dynamics," Journal of Political
Economy 84 (1976), 1161-76
（２）実証研究
Jeffrey A. Frankel and Andrew K. Rose, "A Survey of Empirical Research on Nominal
Exchange Rates," Gene Grossman and Kenneth Rogoff (eds.), Handbook of International
Economics Volume 3, 1995.
Rogoff, Kenneth, "The Purchasing Power Parity Puzzle," Journal of Economic
Literature 34 (June 1996), 647-668
Ken Froot and Kenneth Rogoff, "Perspectives on PPP and Long-Run Real Exchange
Rates," Handbook of International Economics vol. 3, Gene Grossman and Kenneth
Rogoff (eds.), (Amsterdam: Elsevier Science Publishers B.V., 1995): 1647-88.
Michael Mussa, "Empirical Regularities in the Behavior of Exchange Rates and
Theories of the Foreign Exchange Market, in K. Brunner and A. Meltzer (ed.) Policies
for Employment, Prices, and Exchange Rates, North-Holland, 1981
John Campbell and Richard Clarida, "The Dollar and Real Interest Rates,"
Carnegie-Rochester Conference Series 27, 1987
Jeffrey A. Frankel and Richard Meese, "Are Exchange Rates Excessively Variable?,"
NBER W. P. No. 2249 (May 1987).
Nelson Mark, "Exchange-Rates and Fundamentals: Evidence on the Long-Run
Predictability and Overshooting," American Economic Review 85, March 1995, 201-18.
Richard Clarida and Jordi Gali, "Sources of Real Exchange Rate Fluctuations: How
Important are Nominal Shocks?", Carnegie-Rochester Conference Series 41, December
1994, 1-56.
（３）財政赤字とドル
Martin Feldstein, "The Budget Deficit and the Dollar," NBER Macroeconomics Annual,
1986, 355-392, and comments by Rudiger Dornbusch and Alan C. Stockman, pp. 393-407
2
（４）為替市場の効率性
Kenneth A. Froot, "On the Efficiency of Foreign Exchange Markets, MIT working paper,
1990.
Jeffrey A. Frankel and Kenneth Froot, "Using Survey Data to Test Standard Propositions
Regarding Exchange Rate Expectations," American Economic Review 77, No. 1 (March
1987), 133-153.
Kenneth D. West, Hali J. Edison, and Dongchul Cho, "A Utility-Based Comparison of Some
Models of Exchange-Rate Volatility," NBER Technical Working Paper No. 128, November,
1992.
２．経常収支のダイナミックス
（１）バージョン１；不確実性を考慮していない
Maurice Obstfeld and Kenneth Rogoff, Foundations of International Macroeconomics, chs.
1-2
Feldstein, M. and C. Horioka, "Domestic Saving and International Capital Flows,"
Economic Journal 90, 1980.
Linda Tesar, "Savings, Investment, and International Capital Flows," Journal of
International Economics 31 No. 1/2, August 1991, 55-78
（２）バージョン２；不確実性を考慮している.
Obstfeld and Rogoff, "The Intertemporal Approach to the Current Account," sections 3.2-5.
Bernard Dumas, "Partial-Equilibrium vs. General-Equilibrium Models of Capital Market
Equilibrium," in Van Der Ploeg, F. (ed.) The Handbook of International
Macroeconomics, Cambridge Ma: Basil Blackwell, 1994.
Lars E. O. Svensson, "Trade in Risky Assets," American Economic Review 78 No. 3, June
1988, 375-94
proof of gains from trade in risky assets that (almost) mimics standard trade
theory
Alan C. Stockman and Harris Dellas, "Tariffs, Asset Markets, and Political Risk,",
Journal of International Economics 21, November 1986, 199-214.
David Backus, "Interpreting Comovements in the Trade Balance and the Terms of Trade,"
Journal of International Economics, 1993. $$$
Michael B. Devereux and Khang Min Lee, "Endogenous Trade Policy and the Gains from
International Financial Market," working paper, UBC, January 1997ytr
3
Harold Cole, "Financial Structure and International Trade," International Economic
Review, 1987.
Gene M. Grossman and Assaf Razin, "The Pattern of Trade in a Ricardian Model with
Country-Specific Uncertainty," International Economic Review 26, No. 1, February 1985.
Avinash Dixit, "Trade and Insurance with Moral Hazard," Journal of International
Economics 23 no 3/4, November 1987, 201-20.
Alan C. Stockman, "On the Roles of International Financial Markets and Their Relevance
for Economic Policy," Journal of Money, Credit, and Banking 20, vol 3, August, 1988,
531-49.
Harold L. Cole and Maurice Obstfeld, "Commodity Trade and International Risk Sharing:
How Much do Financial Markets Matter?" Journal of Monetary Economics, August 1991,
3-24.
S. Lael Brainard, "Protecting Losers: Optimal Diversification, Insurance, and Trade
Policy," NBER Working Paper #3773, 1992.
Tamin Bayoumi and Joseph Gagnon, "Taxation and Inflation: a New Explanation for
Current-Account Imbalances," International Finance Discussion paper no. 420, Board of
Governors of the Federal Reserve System, 1992.
Backus, D. P. Kehoe and F. Kydland (1994) "Dynamics of the Trade Balance and the Terms
of Trade: The S-Curve", American Economic Review.
（３）実証研究
French, K. and J. Poterba, "Investor Diversification and International Equity Markets,"
American Economic Review 81, 221-226, 1991.
Lewis, K., "Puzzles in International Financial Markets," in Gene Grossman and Kenneth
Rogoff (eds.), Handbook of International Economics vol. 3, (Amsterdam: Elsevier Science
Publishers B.V., 1995).
Lewis, K., "What Can Explain the Apparent Lack of International Consumption
Risk-sharing?" Journal of Political Economy 104, April, 1996, 267-97.
Obstfeld, M. "International Capital Mobility in the 1990s," in Peter B. Kenen (ed.),
Understanding Interdependence: The Macroeconomics of the Open Economy, Princeton
University Press, 1995.
Obstfeld, M., "Are Industrial-Country Consumption Risks Globally Diversified?" in
Leonardo Leiderman and Assaf Razin, eds., Capital Mobility: the Impact on Consumption,
Investment, and Growth, Cambridge: Cambridge University Press, 1994.
4
Obstfeld, M. "Evaluating Risky Consumption Paths: The Role of Intertemporal
Substitutability," European Economic Review, 1994.
Tesar, L., "Evaluating the Gains from International Risksharing," Carnegie-Rochester
Conference Series on Public Policy 42, June 1995, 95-142
Tesar, L, and I. Werner, "Home Bias and High Turnover," Journal of International Money
and Finance 14, August, 1995, 467-92.
van Wincoop, E., "Welfare Gains from International Risksharing: The Role of Nontraded
Goods," Journal of Monetary Economics 34, October 1994, 175-200.
Baxter, M. and U. Jermann (1995) "The International Diversification Puzzle is Worse than
You Think", NBER W.P. No.5019, February.
Baxter, M., U. Jermann and R. King (1995) "Non-Traded Goods, Non-Traded Factors and
International Non-Diversification Puzzle", NBER W.P. No. 5175, July.
F. Canova and M. O. Ravn, "International consumption risk sharing," International
Economic Review, forthcoming.
Devereux M. and G. Smith, "International Risksharing and Economic Growth," Queens
University Discussion Paper no. 829, 1991.
Obstfeld, M., "Risk-Taking, Global Diversification and Growth," AER December 1994..
３．国際通貨制度
Alan Stockman, "Real Exchange Rates under Alternative Nominal Exchange Rate
Systems," Journal of International Money and Finance 2 (Aug., 1983), 147-66
Michael Mussa, "Nominal Exchange Rate Regimes and the Behavior of Real Exchange
Rates," Carnegie-Rochester Conference Series on Public Policy 25, 1986, 117-214.
Ben S. Bernanke, "The macroeconomics of the Great Depression: A Comparative
Approach," Journal of Money, Credit, and Banking 27 no. 1, February 1995, 1-28.
Ehsan U. Choudri and Levis A. Kochin, "The Exchange Rate And The International
Transmission Of Business Cycle Disturbances: Some Evidence From The Great
Depression," Journal of Money, Credit, and Banking 12, 1980, 565-74.
Vittorio Grilli and Graciela Kaminsky, "Nominal Exchange Rate Regimes and the Real
Exchange Rate: Evidence from the US and Britain, 1885-1986," NBER wp 3067, August
1989; revised version: Univ. Pennsylvania wp, #19, October 1988.
5
Guillermo Mondino, "Real vs. Nominal Shocks and the Neutrality of Nominal
Exchange-Rate Systems," University of Chicago working paper, October 1990.
Alan C. Stockman, "Real Exchange Rate Variability under Pegged and Floating Nominal
Exchange Rate Systems: An Equilibrium Theory," in K. Brunner and A.H. Meltzer (eds.),
Carnegie-Rochester Conference Series on Public Policy 29, Autumn 1988, 259-94.
David H. Papell, "Can Equilibrium Models Explain Nominal Exchange Regime
Non-Neutrality? Evidence from the European Monetary System," Journal of International
Money and Finance, 1992.
Marianne Baxter and Alan C. Stockman, "Business Cycles and the Exchange Rate Regime:
Some International Evidence," Journal of Monetary Economics 23 No. 3, May 1989,
377-400.
Sergio Rebelo, "Inflation in Fixed Exchange Rate Economies: the Recent Portuguese
Experience," IIES Seminar paper No. 517, July, 1992.
Tamim Bayoumi and Barry Eichengreen, "Macroeconomic Adjustment under Bretton
Woods and the Post Bretton Woods Float: An Impulse-Response Analysis," NBER Working
Paper #4169, 1992.
Flood, R. and A. Rose, "Fixing Exchange Rates: A Virtual Quest for Fundamentals,"
Journal of Monetary Economics 36 no. 1, August 1995, 3-38.
Stockman, A.C. and L. Ohanian, "Short-Run Independence of Monetary Policy Under
Pegged Exchange rates,"
Svensson, L.E.O. (1993) "Fixed Exchange Rates as a Means of Price Stability: What Have
We Learned ?", NBER W.P.
Tornell, Aaron and Andres Velasco (1995) "Fixed versus Flexible Exchange Rates: Which
Provides More Fiscal Discipline ?", NBER W.P. No.5108.
Andres Velasco, "When are Fixed Exchange Rates Really Fixed?", NBER w.p. 5842,
November 1996
Reading List の便利な作り方；
自分の研究分野のリーディングスを作るとよい。無い場合、http://ideas.repec.org/で自分に関心
のあるTOPICを入れ検索してみよう。さらに、出てきた論文をクリックすると、この論文に関連したリフ
ァレンスが出てくる。
6

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