Productivity shocks and real exchange rates

• 成果类型: Article
• 署名作者: Alexius, A
• 署名单位: Uppsala University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.07.003
• 发表日期: 2005
• 页码: 555-566
• 关键词: Real exchange rates; productivity shocks; variance decompositions

摘要

Previous studies have concluded that productivity shocks have negligible effects on real exchange rate fluctuations. This paper shows that when long-run equilibrium relationships between real exchange rate levels and fundamental variables are taken into account, relative productivity shocks account for most of the long-run movements in the real exchange rates. This can be interpreted as empirical support for the Balassa (1964. Journal of Political Economy 72, 584-596) and Samuelson (1964. Review of Economics and Statistics 46, 145-154) model where differences in relative productivity is the main source of long run deviations for purchasing power parity. (c) 2005 Elsevier B.V. All rights reserved.