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2020-01-01

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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

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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

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Articles publicats en revistes (Economia)

Citació

DOGAN, Aydan, BETTENDORF, Timo. Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks. _Oxford Economic Papers_. 2020. Vol. 72, núm. 1, pàgs. 80-100. [consulta: 21 de gener de 2026]. ISSN: 0030-7653. [Disponible a: https://hdl.handle.net/2445/200300]

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