The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models: Comment

• 成果类型: Article
• 署名作者: Iversen, Jens; Soderstrom, Ulf
• 署名单位: Sveriges Riksbank
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.3.1072
• 发表日期: 2014
• 页码: 1072-1089
• 关键词: RATE PERSISTENCE

摘要

In an article published in the American Economic Review, Jon Steinsson (2008) argues that two sticky price models driven by real shocks can explain the observed persistence, volatility, and hump-shaped impulse response function of the real exchange rate. This comment shows, first, that correcting an error in one of Steinsson's models leads to substantially lower persistence and volatility of the real exchange rate; second, that Steinsson's models cannot match real exchange rate volatility relative to output; and, third, that reasonable variations of the model calibration or specification all lead to lower real exchange rate persistence and volatility (or both).