摘要：One popular view on the current strength of the US dollar is that the higher growth in the US compared
to Europe has stimulated foreigners to buy American assets, thereby driving up the exchange rate. In
this paper a modified portfolio balance model is presented, in which it is shown that the impact of output
growth on the exchange rate depends crucially on the origin of this growth. An improvement of the
output gap is shown to actually depress the exchange rate whereas an increase in potential output growth
leads to an appreciation, especially if this improvement is likely to be persistent. In an empirical example,
it is shown that the equilibrium Dmark dollar rate is indeed positively affected by a positive trend growth
differential between the US and Germany, whereas it is negatively affected by a positive output gap
differential.
关键词：rational expectations, portfolio balance model, Taylor rule, Kalman filter, foreign direct investment
