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E18-375_Dogan+Bettendorf.pdf (483.96 KB)

Tipus de document

Document de treball

Data de publicació

2018

Llicència de publicació

cc-by-nc-nd, (c) Dogan et al., 2018
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/121732

Revisiting real exchange rate volatility: Non-traded goods and cointegrated tfp Chockse [WP]

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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

UB Economics – Working Papers [ERE]
Documents de treball / Informes (Economia)

Citació

DOGAN, Aydan and BETTENDORF, Timo. Revisiting real exchange rate volatility: Non-traded goods and cointegrated tfp Chockse [WP]. UB Economics – Working Papers. 2018. Vol.  E18/375. ISSN 1136-8365. [consulted: 19 of August of 2026]. Available at: https://hdl.handle.net/2445/121732

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