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http://hdl.handle.net/2445/121732
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DC Field | Value | Language |
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dc.contributor.author | Dogan, Aydan | - |
dc.contributor.author | Bettendorf, Timo | - |
dc.date.accessioned | 2018-04-20T08:09:23Z | - |
dc.date.available | 2018-04-20T08:09:23Z | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 1136-8365 | - |
dc.identifier.uri | http://hdl.handle.net/2445/121732 | - |
dc.description.abstract | International real business cycle (IRBC) models predict a real exchange rate volatility that is much lower than the levels observed in the data. In this paper, we build a two-country IRBC model with both a traded and a non-traded goods sector, and calibrate it to UK-euro area (EA) data. We provide evidence on the existence of a cointegrating relationship between UK and EA traded sector total factor productivity (TFP) by estimating a vector error correction model (VECM). To account for this relationship, we incorporate non-stationary technology shocks in the traded sectors in our model, and show that then the model is able to match the observed volatility of the UK-EA real exchange rate. Our analysis points out that both the presence of non-traded sectors and non-stationary technology shocks are necessary to account for the observed volatility in the real exchange rate. | - |
dc.format.extent | 32 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Facultat d'Economia i Empresa | - |
dc.relation.ispartof | UB Economics – Working Papers, 2018, E18/375 | - |
dc.relation.ispartofseries | [WP E-Eco18/375] | - |
dc.rights | cc-by-nc-nd, (c) Dogan et al., 2018 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | UB Economics – Working Papers [ERE] | - |
dc.subject.classification | Mercat financer | - |
dc.subject.classification | Transferència de tecnologia | - |
dc.subject.classification | Tecnologia | - |
dc.subject.other | Financial market | - |
dc.subject.other | Technology transfer | - |
dc.subject.other | Technology | - |
dc.title | Revisiting real exchange rate volatility: Non-traded goods and cointegrated tfp Chockse [WP] | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2018-04-20T08:09:23Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | UB Economics – Working Papers [ERE] Documents de treball / Informes (Economia) |
Files in This Item:
File | Description | Size | Format | |
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E18-375_Dogan+Bettendorf.pdf | 483.96 kB | Adobe PDF | View/Open |
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