Price rigidities and the relative PPP

• 成果类型: Article
• 署名作者: Blanco, Andres; Cravino, Javier
• 署名单位: University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.09.010
• 发表日期: 2020
• 页码: 104-116
• 关键词: PPP Puzzle; Real exchange rates; Price stickiness

摘要

We measure the proportion of real exchange rate movements accounted for by crosscountry movements in relative reset prices (prices that changed since the previous period) using CPI microdata for five countries. Relative reset prices account for almost all of the real exchange rate movements. This is a challenge for most workhorse sticky price models used to generate volatile and persistent real exchange rates, in which relative reset prices are sluggish. Models where movements in relative wages are persistent and track the nominal exchange rate do replicate both the empirical properties of the real exchange rate and of relative reset prices. (C) 2019 Elsevier B.V. All rights reserved.