Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/200300
Title: | Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks |
Author: | Dogan, Aydan Bettendorf, Timo |
Keywords: | Mercat financer Transferència de tecnologia Tecnologia Financial market Technology transfer Technology |
Issue Date: | 1-Jan-2020 |
Publisher: | Oxford University Press |
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. |
Note: | Versió postprint del document publicat a: https://doi.org/10.1093/oep/gpz029 |
It is part of: | Oxford Economic Papers, 2020, vol. 72, num. 1, p. 80-100 |
URI: | http://hdl.handle.net/2445/200300 |
Related resource: | https://doi.org/10.1093/oep/gpz029 |
ISSN: | 0030-7653 |
Appears in Collections: | Articles publicats en revistes (Economia) |
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File | Description | Size | Format | |
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736501.pdf | 973.29 kB | Adobe PDF | View/Open |
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