The effects of surprise and anticipated technology changes on international relative prices and trade

• 成果类型: Article
• 署名作者: Nam, Deokwoo; Wang, Jian
• 署名单位: Hanyang University; Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.04.009
• 发表日期: 2015
• 页码: 162-177
• 关键词: International transmission of TFP shocks; news shocks; Real exchange rate; Trade balance; Backus-Smith puzzle; Impulse response function matching estimation

摘要

This paper argues that it is important to distinguish surprise and anticipated components of total factor productivity (TFP) when we study the international transmission of TFP shocks. We document that surprise and anticipated shocks to US TFP induce distinct dynamics for international relative prices (the real exchange rate and the terms of trade) and international trade (real exports, real imports, and the trade balance). Our empirical findings can reconcile some conflicting empirical results in the literature and hence lead to a better understanding of the international transmission of TFP shocks. In addition, we evaluate a standard international macroeconomic model and discuss the mechanisms that may help to replicate our empirical findings. (C) 2015 Elsevier B.V. All rights reserved.