Cointegrated TFP processes and international business cycles
成果类型：
Article
署名作者：
Rabanal, Pau; Rubio-Ramirez, Juan F.; Tuesta, Vicente
署名单位：
Duke University; International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2011.03.005
发表日期：
2011
页码：
156-171
关键词：
摘要：
A puzzle in international macroeconomics is that real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. This paper provides evidence that TFP processes for the U.S. and the rest of the world are characterized by a vector error correction model (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps to explain the observed high real exchange rate volatility. Also, the model can explain the observed increase in real exchange rate volatility with respect to output in the last 20 years by changes in the parameters of the VECM. (C) 2011 Elsevier B.V. All rights reserved.
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