Chmh sach tien te va hien tiling ty gia phan ufng qua mufc
- bang chu'ng thu'c nghiem
tai cac quoc gia dang phat trien trong khu vi/c Dong Nam A
NCavlN NGOC THGY VY*
N G G Y I N TRONG Y"
Tom tat
Nghien cvtu ndy dp dung cdch thiet lap rdng buoc theo Bjornland (2009) trong phdn tich phdn dng cda ty gid trifdc cu soc chinh sdch tien te, nham xem xet sU phd hop cua mo hinh Dornbusch tai cdc qudc gia dang phdt trien trong khu vile Dong Nam A. Vdi cdch thiet lap rdng buoc ndy, trong ngan han bien chinh sdch tien te vd ty gid co the tUOng tdc qua lai, trong khi ve ddi han bien chinh sdch tien te khong dnh hudng den ty gid.
Tuf khoa: chinh sdch tien te, mo hinh Dornbusch, ngang bdng ldi sudt khong phdng ngtfa, ty gid phdn dng qud mdc, SVAR
Summary
This study applies the Bjornland (2009) constraint setting in analyzing the response of exchange rates to the monetary policy shock to examine the relevance of the Dornbusch model in developing countries in Southeast Asia. With this constraint setting, monetary policy and exchange rate can be interacted with each other in the short run, while in the long-term monetary policy does not affect exchange rate.
Keywords: monetary policy, Dornbusch model, uncovered interest rate parity, overshooting rate, SVAR
^
GI6ITHIEU
Gia thuyet ty gia phan u"ng qua mu'c de xuat bdi Dornbusch (1976) mot trong cac ly thuyet trung tam cua kinh te' hoc vT mo quo'c te', cho rang, viec tang lai sua't se khien dong noi te td'c thdi tang gia va sau do giam gia theo dung ly thuye't ngang bang lai sua't khong phong ngij'a (Uncovered Interest Parity UIP).
Tuy nhien, ly thuye't nay it nhan du'dc bang chu'ng ung ho tijf cac nghien cu'u thu'c nghiem. Song, sif thie'u vang cac bang chu'ng thifc nghiem ung ho khong khie'n gia thuyet ty gia phan iJng qua
mu'c. Cling ly thuye't UIP trd nen 16i thdi. Hai ly thuye't nay hien van la nen tang cua cac ly thuye't kinh te hoc quoc te'hien dai.
Thu'c te' cho tha'y, cac nghien cu'u ve hieu iJng Dornbusch siJ dung mo hinh SVAR (Structural Vector Autoregressive) kha phd bie'n. Tuy nhien, co it nghien cu'u, dac biet cac nghien cu'u thie't lap rang buoc dai han, kiem dinh sif phii hOp cua mo hinh Dornbusch tai cac quo'c gia dang phat trien. Chinh vi vay, nhom tac gia sii dung mo hinh SVAR vdi rang buoc dai han de thu'c hien kiem dinh gia thuye't ty gia phan i^ng qua mu'c cua ty gia hdi doai cho mot sd cac nu'dc dang phat trien d khu vifc Dong Nam A, nhif: Viet Nam, Thai Lan, Malaysia, Indonesia va Phihppines. Ke't qua thifc nghiem cung cap bang chu'ng ung ho ly thuye't ty gia tang qua mu'c tai cac qudc gia nay.
*ThS., Tru'dng Dai hoc Ngoai thifdng Cd sd II I Email: [email protected]
"ThS., Trirdng Dai hoc Kinh te TP. Ho Chi Minh I Ennail: [email protected]
Ngay nhan bai: 15/07/2018; Ngay phan bien: 25/09/2018; Ngay duyet dang: 22/10/2018
Economy •^"'^ Fnrfrast Review
CaSOfLY THUYET
Gid thuyet ty gid phdn dng qud mdc
Mo hinh Dornbusch hay thu'dng dufdc nhac de'n vdi ten goi mo hinh ty gia nhay vot overshooting model du'dc giao Slf Rudiger Dornbusch cua MIT de xua't nam 1976. Nghien ciJu da phan tich nhitng he qua cua tinh cd'ng nhac trong gia ca de'n ty gia. Vdi gia ca gan nhif cd'ng nhac, sif thay ddi trong cung tien danh nghia cung la su" thay ddi trong cung tien thu'c. Tn/dc su" thay ddi trong cung tien thu'c, cau tien cQng phai lap tufc thay doi de dam bao can bang tren thi tru'dng tien te. Do mo hinh Dornbusch gia dinh san lu'dng la cd dinh, nen lai sua't se la ye'u td can phai dieu chinh de thi tnfdng tien te can bang. Nhif vay, trong ngan han, cu sdc chinh sach tien te se dan de'n hieu ufng thanh khoan trong nen kinh te'.
Nhu'ng trong dai han, mot cd sdc trong chinh sach tien te la cac bie'n vi mo thifc khoi phue gia tri ban dau trong khi cac bie'n danh nghia nhif ty gia va mufc gia thie't lap md'c can bang mdi tu'dng i^ng vdi ty le thay ddi trong cung tien. Khong chi cd sdc chinh sach tien te ma cd sdc thyc cung cd kha nang dan de'n hieu iJng ty gia nhay vot.
Chang han nhif, khi Vifdng qudc Anh trd thanh qudc gia xua't khau dau mo vao cudi thap nien 1970, hien tu'dng ty gia nhay vot cd kha nang tdn hai de'n khu vifc san xua't cong nghiep va lao dong cua qudc gia nay.
Bang chdng thuc nghiem ve gid thuyet ty gid phdn dng qud mdc
Frankel (1979) la mot trong nhitng nghien culi dau tien kiem dinh thu'c nghiem mo hinh Dornbusch. Trong nghien cufu nay, Frankel xem xet nhitng ye'u td quye't dinh ty gia trong giai doan sieu lam phat tai Dd'c (1922-
1923). Cd sdc chinh trong giai doan nay la cu sdc chinh sach tien te. Ke't qua cho tha'y, he sd co gian cua ty gia theo lai sua't ldn hdn 1 (cu the la 1,57). Tac dong manh me cua bie'n chinh sach tien te de'n ty gia trong Frankel (1979) phii hdp vdi gia thuye't ty gia phan d'ng qua mu'c cua Dornbusch. Tuy nhien, do Frankel thifc hien nghien cdli trong giai doan sieu lam phat, ket luan cua nghien cdli khd cd the md rong trong giai doan gia ca dn dinh.
Nghien ciJu cua Meese va Rogoff (1983) cho tha'y, cac mo hinh ty gia khong cd sif khac biet cd y nghia vdi mo hinh bifdc ngiu nhien khi so sanh bang chi tieu Root Mean Square Error (RMSE). Theo do, nguyen nhan cho kha nang dtf bao kem cua cac mo hinh ty gia cd the xua't phat tu* mo hinh bi dinh dang sai, tinh phi tuye'n va bie'n dong ngiu nhien cua cac bie'n giai thich thu'c Slf (thay vi cac bie'n du'dc du'a vao mo hinh).
Meese va Rogoff (1983) cdng tim tha'y bang chd'ng ung ho ly thuye't chu ky kinh doanh thifc khi cho rang, cac cd sdc thifc (nhtf cu sdc cong nghe) cd kha nang giai thich bien dong ty gia hdn la cac cd sdc danh nghia (ehang han cd sdc chinh sach tien te) nhif dif bao cua mo hinh Dornbusch.
Eichenbaum va Evans (1995) trong khi nghien ciJu ve nen kinh te Hoa Ky trong giai doan 1974-1990 cho tha'y, cd sdc that chat se din de'n mot sif gia tang manh trong lai sua't va khien ddng USD tang gia manh. Tuy nhien,
ddng USD khong tang gia ngay lap tiJc, ma tang dan dan trong mpt thdi gian. Si/
cham tri trong phan d'ng cua ty gia khong phii hdp vdi dif bao ve phan d'ng td'c th5i theo mo hinh Dornbusch. Eichenbaum va Evans (1995) goi hien tufdng nay la "ty gia phan d'ng qua md'c trS" "delayed overshooting". Eichenbaum va Evans (1995) cung tim tha'y bang chdfng ve suf sai lech dang ke va keo dai so vdi dieu kien ngang bang lai sua't khong phong ngifa UIP: ldi nhuan de'n tuf md'c lai suat trong nu'dc cao du'dc cung co' bdi sif tang gia ky vpng cua USD...
Nghien cdM cua SchoU va Uhhg (2008) kiem dinh hieu d'ng ty gia phan d'ng qua md'c trS tai cac qudc gia G7 (khong bao gdm Hoa Ky) trong giai doan 1977-2001. SchoU va Uhlig (2008) su' dung mo hinh VAR va thie't lap rang buoc ve da'u tren cac bie'n tien te chu ye'u.
Chang han chinh sach tien te that chat se khong din de'n su" sut giam trong lai suat ngan han trong nu'dc. Rang buoc nay co the han che mpt sd^ lu'dng dang ke cac cd sdc trong mo hinh. Ke't qua cho thay, sau mpt cd sd^c tien te that chat, ddng noi te se tang gia trong mpt giai doan keo dai de'n 3 nam va do vay, cung cap bang chd'ng ung hp hieu d'ng ty gia phan d'ng qua md'c tre.
Trong nghien cxin cua Bjornland (2009), bang each gia dinh ve tinh trung lap cua chinh sach tien te trong dai han da cho thay, su* thay ddi trong phan d'ng cua ty gia tnfdc ed sd^c ehinh sach tien te. Cu the, hien tu'dng ty gia phan d'ng qua mdc tri bie'n mat va ty gia phan d'ng td'c thdi tru'dc cu sdc chinh sach tien te. Phan d'ng cifc dai eua ty gia diSn ra trong vdng hai quy dau tien tai cac nen kinh te'Australia, Canada, New Zealand va Sweden trong giai doan 1983-2004. Khong chi tim thay bang chd'ng ve gia thuye't ty gia phan d'ng qua md'c, Bjornland (2009) edn tim tha'y, bang chd'ng ve ngang bang lai suat khong phdng ngita.
Voss va Willard (2009) nghien cuH tru'dng hdp eua Hoa Ky va Australia vdi mo hinh SVAR trong giai doan 1984-2007. Trong trifdng hdp AustraUa, nghien cu'u eho tha'y, ed sdc chinh sach tien te se tac dong de'n ty gia nhif dtf bao cua mo hinh Dornbusch: ty gia thay ddi ngay lap ttfc va sau dd dieu ehinh dan ve mtfc can bang. Trong giai doan nay, dieu kien ngang bang lai sua't khong phdng ngtfa ciing dtfdc dam bao tai Australia.
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95% Cl for oirf orthogonaMzed irf
95% Cf for sirf structural irf Indonesia: ir_deposit r> p,Jn—er_real
step 95% Cl for oirf orthogonalized irf
95% Cl for sirf structural irf Philippines: ir_deposit -> D.tn_er_reat
thailand: ir_deposit-> D.ln_er_real
95% Cl for oirf orthogonalized irf
95% Cl for sirf structural irf malaysia: i r _ d e p o s i t - > P.ln_er_real
95% Cl for oirf orthogonalized irf
95% Ci for sirf structural irf
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95% Cl for sirf structural irf
95% Cl for oirf orthogonalized irf
95% Cl for sirf structural irf
N g u o n : Tinh toan ciia n h o m tac gia
Tuy nhien, ke't qua cho trtfdng hdp Hoa Ky kha trai ngtfdc. Bie'n dong trong lai sua't khong cd tae dong dang ke de'n ty gia va dieu kien ngang bang lai sua't khdng phdng ngtfa cung khong dtfdc duy tri tai qud'c gia nay.
Heinlein va Krolzig (2010) nghien ctfu hien ttfdng ty gia phan tfng qua mtfc tre tai Anh bang md hinh VAR giai doan
1972-2009. Nghien ctfu tim tha'y bang chtfng manh me ung hp hien ttfdng ty gia phan tfng qua mtfc tre va stf sai lech khdi UIP do ldi nhuan bat thtfdng gay ra bdi hien ttfdng nay.
PHL/ONG PHAP NGHIEN CLfU Nghien ctfu tie'n hanh phan tich thtfc nghiem dtfa tren dff lieu cua 5 quo'c gia dang phat trien trong khu vtfc Dong Nam A, bao gdm: Viet Nam, Thai Lan, Malaysia, Indonesia va Philippines. Nhtf da trinh bay trong phan ed sd ly thuye't,
nghien ctfu thtfc nghiem ve mo hinh Dornbusch thtfdng dtfdc thtfc hien tai cae qud'c gia phat trien. Trong nghien ctfu nay, chdng toi mong mudn tim kiem bang chtfng thtfc nghiem ve ly thuye't ty gia nhay vpt tai cac qudc gia dang phat trien. Ben canh 5 qud'c gia neu tren, chdng tdi cung xem xet trtfdng hdp cua Singapore de ddi chieu bang chtfng giffa cac qud'c gia phat trien va dang phat trien.
Nghien ctfu do Itfdng cac bie'n dtfa tren md hinh eua Svensson, L. E. O. (2000). Cac bien trong md hinh SVAR, bao gdm: (i) Lam phat (TI ) - do Itfdng bang thay ddi hang nam cua Id-ga-rit chi sd gia tieu dung; (ii) Ld- ga-rit cua tdng san Itfdng thtfc (y^); (iii) Lai sua't ky han 3 thang trong ntfdc (i^) dai dien cho ehinh sach tien te;
(iv) Lai sua't ky han 3 thang d thi trtfdng Hoa Ky lam dai dien eho lai sua't ntfdc ngoai (i^*); (v) Sai phan bac mpt cua Id-ga-rit ty gia thifc RER (Ae^).
Dp tre cua md hinh dtfdc Itfa chpn dtfa tren cac tieu chi thdng tin, nhtf: AIC, SIC va HQC. Difa tren eac tieu chi nay, chdng tdi lifa chpn dp tri 2 eho ta't ca eac qudc gia nghien ctfu. Md hinh SVAR chdng ta thie't lap dam bao dieu kien dn dinh: cae nghiem dao cua da thtfc dac trtfng deu nam trong vdng trdn ddn vi, do do, mo hinh
Economy " ' <it R f
VAR cd the nghich dao va phan tich vdi dang trung binh trtf dt (MA).'
Giai doan nghien ctfu bat dau ttf quy 1/1998 den quy IV/2016. Dff heu dang chudi thdi gian theo quy dtfdc thu thap ttf ed sd dff heu International Financial Statistics ciia Quy Tien te Qudc te (IMF) ngoai trtf REER dtfdc cung cap bdi Datastream. De cd the thu dtfdc bang chtfng vffng chae ve gia thuye't ty gia phan tfng qua mtfc tai cac qudc gia tren, bai nghien ctfu se trinh bay ddng thdi ke't qua nghien ctfu khi sff dung rang budc de quy truyen thdng va sff dung rang budc dai han theo Bjornland (2009).
KET QUA THL/C NGHIEM
Mo hinh SVAR vdi cu soc theo cau true de quy Chung ta bat dau bang viec phan tich phan ffng cua ty gia trffdc cd sd'c ehinh sach tien te vdi ham phan ffng day dtfdc xay dtfng theo eau trdc de quy. Hinh the hien bie^n ddng trong ty gia thtfc trtfdc mpt stf gia tang trong lai sua't khi eac cd sd'c tuan theo trat ttf de quy mau xanh va theo rang budc dai han theo Bjornland (2009)
mau do. Ltfu y, do each niem yet gia trifc tie'p, nen mdt stf sut giam trong ty gia ham y ddng tien tang gia.
Tai cac qud'c gia khi cac cd sdc trong md hinh SVAR dffdc thie^t lap theo trat tif de quy, phan tfng cua ty gia trtfdc cd sd'c tien te that chat khdng phii hdp vdi dtf bao cua gia thuye't ty gia tang qua mffe. Cu the, tai Viet Nam va Philippines, ddng ndi te khdng tang gia ttfc thdi nhtf Dornbusch dtf bao, ma edn giam gia trtfdc khi dieu chinh ve mffe can bang. O cac qud'c gia cdn lai, mac dil bien ddng ty gia theo ddng hffdng dff bao cua Dornbusch, nhffng mtfc dp phan ffng khdng du ldn de dffdc xem la phan ffng qua mffe. Cac qud'c gia thtfdng mat 1 hoac 2 quy de dat dtfdc phan tfng ctfc dai eua ty gia trtfdc ed sdc ehinh sach tien te va khoang 4 quy de ty gia quay ve mtfc ban dau.
Mo hinh SVAR vdi rdng buoc ddi hqn
Khi dieu chinh rang budc trong trat ttf cac cu sdc, phan tfng eua ty gia trtfdc cd sd'c tien te that chat ed stf thay ddi dang ke. Stf khac biet nay the hien rd rang trong Hinh. Khi nay, ty gia tai hau het cac qudc gia (trtf Thai Lan va Philippines) deu cd hanh vi phan ffng qua mffe. Trtfdc mdt stf gia tang trong lai sua't, ty gia lap tffc giam sau va sau dd, dan dieu chinh ve mffe can bang ban dau sau mpt nam. Trong trtfdng hdp Philippines, ty gia cd hien ttfdng phan tfng qua mffe tri khi mtfc dp dieu chinh eua ty gia khdng dat cifc dai ngay trong ky ma d ky tie'p theo. Viet Nam la mpt trtfdng hdp thd vi, khi VND ban dau tang gia manh nhtf dtf bao cua Dornbusch; sau do, thay vi dieu chinh ve mffe can bang, VND lai giam gia manh va tff mffe ctfc tri giam gia nay VND mdi quay ve gia tri ban dau. Nhtf vay, viec thie't lap cac rang budc trong nghien cffu nay cd ban cai thien ket qua thtfc nghiem so vdi eac rang budc de quy.
Hau het cac qudc gia trong mlu nghien ctfu cung cap
bang chffng ung hd md hinh Dornbusch.
Ke't qua tren phii hdp vdi nghien ctfu cua Bjornland (2009) va cac nghien ctfu trich din trong nghien ctfu nay.
Tai sao phan tfng cua ty gia lai cd sif khae biet dang ke giffa hai each thiet lap rang budc? Vdi each thie't lap theo cau trdc de quy, chung ta khdng xet den mdi quan he ttfc thdi giffa lai sua't va ty gia.
Trong khi d each thiet lap rang budc dai han, chdng ta cho phep giffa lai sua't va ty gia ed md'i quan he ddng thdi d ngan han, edn trong dai han, ty gia ehi ed vai trd trung lap. Nhtf vay, de lam rd nguyen nhan eua sif khac biet trong phan iJng cua ty gia, chdng ta can xem xet lieu co tdn tai mdi quan he ddng thdi giffa lai sua't va ty gia. Ne'u md'i quan he dong thdi nay cd tdn tai, thi each thie't lap mo hinh chdng ta dang thffc hien la phii hdp.
Trong trffdng hdp ngffdc lai, ehung ta chi can thie't lap rang budc nhtf cac mo hinh VAR trtfdc day. Tac ddng ttfc th5i eua lai sua't de'n ty gia da dtfdc the hien trong Hinh. Tuy nhien, khi phan tich tac ddng cua ty gia de'n lai sua't, chdng ta tha'y, tai hau het cac qudc gia, mpt stf gia tang trong ty gia (ddng ndi te giam gia) se ngay lap tffc dan de^n mdt stf gia tang trong lai sua't. Sau khi gia tang den mu'c ctfc dai, lai sua't dan dieu chinh ve mu'c ban dau trong khoang 1-3 nam. Td'c do dieu chinh cua lai sua't trtfdc cu sdc ty gia kha cham, ttfdng ttf nhtf tde dp dieu chinh trtfdc cd sd'c ehinh sach tien te.
Kiem dinh tinh vdng
De kiem dinh tinh vffng eua ket qua nghien cffu, chung ta lan Itfdt thtfc hien cae thu tuc sau: (i) Thay ty gia thtfc bang ty gia danh nghia; (ii) Thff nghiem cac dp tri khae nhau trong md hinh SVAR.
Nhin chung, ket qua ttfdng tif nhtf phan tich tren. Ttfdng ttf, viec sff dung cac cau trdc dp tri khae nhau khdng lam anh htfdng de'n ke't qua ehinh eua md hinh.
KET LUAN
Md hinh ty gia phan tfng qua mffe do Dornbusch (1976) de xua't la mdt trong nhffng md hinh nen tang eiia kinh te hoc VI md qud'c te. Difa tren gia dinh ty gia can bang sffc mua (PPP) trong dai han va UIP trong ngan han, md hinh dif bao ddng npi te se lap tffc tang gia khi trtfdc mpt cu sd'c tien te that chat. Tuy nhien, khdng co
' Cac ket qua kiem dinh tinh on dinh cua mo hinh SVAR se dufdc cung cap khi co yeu cau.
.•.inn te va Uu bao
nhieu bang chtfng thtfc nghiem ung hd dif bao eua md hinh. Dff Ueu cho tha'y, sau ed sdc tien te that chat, ty gia thffe thffdng giam trong mdt thdi gian dai (hien tffdng ty gia tang qua mtfc tri) hoac tham chi tang (mau thuan ty gia). Hien ttfdng ty gia tang qua mtfc tri se tao ra cae ed hdi kinh doanh chenh lech gia. Khi nay, cac thanh phan kinh te cd the htfdng ldi ttf mtfc lai sua't trong ntfdc cao cung nhtf ttf stf tang gia cua ddng npi te. Phan tfng tren cua ty gia khdng phu hdp ve mat ly thuyet.
Da sd cac nghien ctfu thtfc nghiem xem xet phan tfng cua ty gia trtfdc eu sd'c chinh sach tien te deu sff dung md hinh VAR. Trong md hinh VAR, de cd the rut ra ket luan dang tin cay ttf cac ham phan tfng day, chung ta can xac dinh ca'u trdc phd hdp cho cac eu sd'c. Phan ldn cac nghien cufu ap dung md hinh VAR gia dinh khdng cd mdi quan he ddng thdi giffa bien chinh sach tien te va ty gia. Tuy nhien, rang budc nay khdng phu hdp vdi ly thuyet ve chinh sach tien te, cung nhff ly thuye't ve ty gia. Ngoai ra, cac nghien ctfu gan day, nhtf: Faust va Rogers (2003) va Bjornland (2009) cho thay, stf tdn tai cua hien ttfdng ty gia phan ffng tre trong
thu'c nghiem nhay cam vdi each thiet lap rang budc neu tren trong md hinh VAR. Nhff vay, de ed the phan tieh ehinh xac phan ffng cua ty gia trffdc bie'n chinh sach tien te (ttf do chtfng minh stf phii hdp eua md hinh Dornbusch), chdng ta can dieu chinh each thiet lap rang budc trong md hinh VAR theo htfdng cho phep stf ttfdng tae ddng thdi giffa bien chinh sach tien te va ty gia.
Nghien cffu nay ap dung each thiet lap rang budc theo Bjornland (2009) trong phan tieh phan ffng cua ty gia trffdc cu sd'c chinh sach tien te, nham xem xet stf phu hdp cua md hinh Dornbusch tai cac qud'c gia dang phat trien trong khu vtfc Ddng Nam A. Vdi each thiet lap rang budc nay, trong ngan han, bie'n ehinh sach tien te va ty gia ed the ttfdng tac qua lai trong khi ve dai han bien ehinh sach tien te khdng anh htfdng den ty gia. Gia dinh ve tinh trung lap cua chinh sach tien te trong dai han la gia dinh cd ban trong ly thuyet ve ehinh sach tien te. Khi Ichdng rang budc mdi quan he ddng thdi giffa bien chinh sach tien te va ty gia, ket qua chdng ta thu dtfdc cd stf thay ddi dang ke. Sau eu sd'c chinh sach tien te, ty gia tai hau het cac qud'c gia lap tffc giam manh va sau dd dan dieu ehinh ve mffe can bang. Vi vay, nghien cffu nay cung cap bang chffng thffc nghiem ung hd md hinh Dornbusch vdi ly thuyet ty gia phan tfng qua mtfc tai cac ntfdc dang phat trien trong khu vifc Ddng Nam A.
Nhtf vay, md hinh Dornbusch du da ra ddi each day gan nffa the ky va cd thiet lap ddn gian van chffng minh dtfdc gia tri cua minh trong bd'i canh hien tai.Q
TAI LIEU THAM KHAO
1. Bjornland, H. (2009). Monetary Policy and Exchange Rate Overshooting: Dornbusch was right after all, Journal of International Economics, 79, 64-77
2. Dornbusch, R. (1976). Expectations and Exchange Rate Dynamics, Journal of Political Economy, 84, 1161-1176
3. Eichenbaum, M. and Evans, C. (1995). Some empirical evidence on the effects of shocks to monetary policy on exchange rates, Quarterly Journal of Economics, 110, 975-1010
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