Mussa redux and conditional PPP

• 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: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.08.003
• 发表日期: 2014
• 页码: 101-114
• 关键词: Real exchange rate; persistence; Exchange rate regimes; Sticky price models

摘要

The extreme persistence of real exchange rates found commonly in post-Bretton Woods data does not hold in the preceding fixed exchange rate period, when the half-life was roughly half as large in our sample. This finding supports sticky price models as an explanation for real exchange rate behavior, extending the classic argument of Mussa (1986) from a focus on short-run volatility to long-run dynamics. Two thirds of the rise in real exchange rate variance observed across exchange rate regimes is attributable to greater persistence of responses to shocks, including greater price stickiness, rather than to greater variance of shocks themselves. (C) 2014 Elsevier B.V. All rights reserved.