THE MICRO-MACRO DISCONNECT OF PURCHASING POWER PARITY

• 成果类型: Article
• 署名作者: Bergin, Paul R.; Glick, Reuven; Wu, Jyh-Lin
• 署名单位: University of California System; University of California Davis; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; National Sun Yat Sen University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00335
• 发表日期: 2013-07
• 页码: 798-812
• 关键词: cross-section dependence; dynamic panel estimation; real exchange-rates; ppp puzzle; sticky prices; aggregation; BIAS; LAW

摘要

This paper reconciles the persistence of aggregate real exchange rates with the faster adjustment of international relative prices in microeconomic data. Error correction model estimates indicate that a different mix of shocks drives international price deviations at the microeconomic level and that dynamic adjustment works through arbitrage in the goods market rather than the foreign exchange market. When half-lives are estimated conditional on a common set of estimated macro shocks, we find that micro relative prices exhibit every bit as much persistence as aggregate real exchange rates. These results challenge theories of real exchange rate persistence based on sticky prices and heterogeneity across goods.