Can international macroeconomic models explain low-frequency movements of real exchange rates?

• 成果类型: Article
• 署名作者: Rabanal, Pau; Rubio-Ramirez, Juan F.
• 署名单位: International Monetary Fund; Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.01.009
• 发表日期: 2015
• 页码: 199-211
• 关键词: International business cycles; spectrum; Real exchange rates; cointegration

摘要

Real exchange rates exhibit important low-frequency fluctuations. This makes the analysis of real exchange rates at all frequencies a more sound exercise than the typical business cycle one, which compares actual and simulated data after the Hodrick-Prescott filter is applied to both. A simple two-country, two-good, international real business cycle model can explain the volatility of the real exchange rate when all frequencies are studied. The puzzle is that the model generates too much persistence of the real exchange rate instead of too little, as the business cycle analysis asserts. We show that the introduction of input adjustment costs in production, cointegrated productivity shocks across countries, and lower home bias allows us to reconcile theory and this feature of the data. (C) 2015 Elsevier B.V. All rights reserved.