Volatile and persistent real exchange rates with or without sticky prices

• 成果类型: Article
• 署名作者: Moore, Michael J.; Roche, Maurice J.
• 署名单位: Queens University Belfast; Maynooth University; Queens University - Canada
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.01.001
• 发表日期: 2008
• 页码: 423-433
• 关键词: Exchange rates; habit persistence

摘要

The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Two methodologies are employed to explore this model's ability to generate volatile and persistent exchange rates. In the first, actual data is used for the exogenous driving processes. In the second, the model is simulated using estimated forcing processes. The theory, in both cases, is capable of explaining the high volatility and persistence of real and nominal exchange rates as well as the high correlation between real and nominal rates. (C) 2007 Elsevier B.V. All rights reserved.