Real Exchange Rates and Endogenous Productivity

• 成果类型: Article
• 署名作者: Gornemann, Nils; Quintana, Pablo A. Guerron; Saffie, Felipe
• 署名单位: Boston College; University of Virginia; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210445
• 发表日期: 2025
• 关键词: research-and-development; business-cycle; fiscal incentives; long-run; TRADE; volatility; frictions; models; shocks

摘要

Two-thirds of the real exchange rate's (RER's) volatility occurs at low frequencies. We provide empirical evidence that links movements in the RER to changes in research and development spending and patents. A two-country real business cycle model with endogenous productivity and a gradual dissemination of ideas can rationalize these facts. Endogenous productivity alters RER dynamics by inducing (i) a persistent gap in productivity between countries and (ii) a reallocation of resources toward research and development spending. The estimated full model effortlessly replicates the dynamic properties of the RER at all horizons without sacrificing the model's fit along other dimensions. (JEL E13, E32, F31, F43, F44)