Information frictions and real exchange rate dynamics

• 成果类型: Article
• 署名作者: Candian, Giacomo
• 署名单位: Universite de Montreal; HEC Montreal
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2018.11.006
• 发表日期: 2019
• 页码: 189-205
• 关键词: Real exchange rates; strategic complementarities; Dispersed information; Bayesian estimation

摘要

Real exchange rates are highly volatile and persistent. I provide a novel structural explanation for these facts using a model with dispersed information among firms. When producers face strategic complementarities in price-setting, uncertainty about competitors' beliefs results in sluggish price adjustment that can generate large and long-lived real exchange rate movements. I estimate the model using data from the US and Euro Area. and show that it successfully explains the unconditional volatility and persistence of the real exchange rate. The model also accounts for the persistent and hump-shaped real exchange rate behavior conditional on nominal disturbances documented by a structural VAR. About 50% of this persistence is due to the inertial dynamics of higher-order beliefs. (C) 2018 Elsevier B.V. All rights reserved.