Aggregation and the PPP Puzzle in a Sticky-Price Model

• 成果类型: Article
• 署名作者: Carvalho, Carlos; Nechio, Fernanda
• 署名单位: Pontificia Universidade Catolica do Rio de Janeiro; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.101.6.2391
• 发表日期: 2011
• 页码: 2391-2424
• 关键词: purchasing power parity; real exchange-rate; RATE PERSISTENCE; monetary-policy; dynamic-models; half-life; to-market; deviations; rates; nonneutrality

摘要

We study the purchasing power parity (PPP) puzzle in a multisector, two-country, sticky-price model. Sectors differ in the extent of price stickiness, leading to heterogeneous sectoral real exchange rate dynamics. Deviations from PPP are more volatile and persistent than in an otherwise identical one-sector world economy with the same average frequency of price changes. Under the empirical distribution of price stickiness of the US economy, the model produces PPP deviations with a half-life of 39 months. We provide a structural interpretation of the approaches found in the empirical literature on aggregation and PPP, and reconcile its apparently conflicting findings. (JEL F31, G31)