Aggregate real exchange rate persistence through the lens of sectoral data
成果类型：
Article
署名作者：
Mayoral, Laura; Dolores Gadea, Maria
署名单位：
Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); University of Zaragoza; Barcelona School of Economics
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2011.06.003
发表日期：
2011
页码：
290-304
关键词：
摘要：
A novel approach to analyzing real exchange rate (RER) persistence and its sources is presented. Using highly disaggregated data for a group of EU-15 countries, it is shown that the distribution of sectoral persistence is highly heterogeneous and skewed to the right, so that a limited number of sectors are responsible for the high levels of persistence observed at the aggregate level. Quantile regression has been employed to investigate whether traditional theories, such as the lack of arbitrage due to nontradability or imperfect competition combined with price stickiness, are able to account for the slow reversion to parity of RERs. (C) 2011 Elsevier B.V. All rights reserved.
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