Amb motiu del tancament d'estiu, la validació de documents es reprendrà a partir del 28 d'agost de 2026. Disculpeu les molèsties.
Con motivo del cierre de verano, la validación de documentos se reanudará a partir del 28 de agosto de 2026. Disculpad las molestias
Due to the summer closure, document validation will resume starting August 28, 2026. We apologize for any inconvenience.

Fitxers

736501.pdf (973.29 KB)

Tipus de document

Article

Versió

Versió acceptada

Data de publicació

2020-01-01

Tots els drets reservats

Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/200300

Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks

Títol de la revista

Autors

Director/Tutor

ISSN de la revista

Títol del volum

Recurs relacionat

https://doi.org/10.1093/oep/gpz029

Resum

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.

Matèries

Mercat financer, Transferència de tecnologia, Tecnologia

Matèries (anglès)

Financial market, Technology transfer, Technology

Citació

Col·leccions

Articles publicats en revistes (Economia)

Citació

DOGAN, Aydan and BETTENDORF, Timo. Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks. Oxford Economic Papers. 2020. Vol. 72, num. 1, pags. 80-100. ISSN 0030-7653. [consulted: 16 of August of 2026]. Available at: https://hdl.handle.net/2445/200300

Exportar metadades

JSON - METS

Compartir registre