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Cointegrated TFP Processes and International Business Cycles
Mr.Pau RabanalVicente TuestaJuan F. Rubio-Ramirez
出版International Monetary Fund, 2009-09-01
主題Business & Economics / Foreign ExchangeBusiness & Economics / Production & Operations ManagementBusiness & Economics / Econometrics
ISBN145187359X9781451873597
URLhttp://books.google.com.hk/books?id=-oMYEAAAQBAJ&hl=&source=gbs_api
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註釋A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error correction (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps explaining the observed high real exchange rate volatility. Also we show that the observed increase of the real exchange rate volatility with respect to output in the last 20 year can be explained by changes in the parameter of the VECM.