This paper proposes a parsimonious OLG model with output shocks to shed light on the impact of the nominal exchange rate on the dynamics of net foreign assets through valuation effects. We show that an increase in the share of world GDP leads to a trade surplus and negative valuation effects through an appreciation of the nominal exchange rate. The lack of perfect arbitrage in the model implies that the valuation channel is a key component of the process of external adjustment, consistently with the empirical literature. Finally, we provide empirical evidence in support of the role of the share of world GDP in generating trade balance and exchange rate/valuation effects dynamics.

本文提出了一种带有产出冲击的简约 OLG 模型，以揭示名义汇率通过估值效应对外国净资产动态的影响。我们表明，世界 GDP 份额的增加会通过名义汇率升值导致贸易顺差和负估值效应。模型中缺乏完美套利意味着估值渠道是外部调整过程的关键组成部分，这与实证文献一致。最后，我们提供实证证据来支持世界 GDP 份额在产生贸易平衡和汇率/估值效应动态方面的作用。