Cointegrated TFP Processes and International Business Cycles

Download or Read online Cointegrated TFP Processes and International Business Cycles full in PDF, ePub and kindle. This book written by Mr.Pau Rabanal and published by International Monetary Fund which was released on 01 September 2009 with total pages 54. Read Cointegrated TFP Processes and International Business Cycles Book directly on your devices, fast download and no annoying ads.

Cointegrated TFP Processes and International Business Cycles
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Publisher : International Monetary Fund
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ISBN : 9781451873597
Pages : 54 pages
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Download or Read Online Cointegrated TFP Processes and International Business Cycles in PDF, Epub and Kindle

A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error correction (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps explaining the observed high real exchange rate volatility. Also we show that the observed increase of the real exchange rate volatility with respect to output in the last 20 year can be explained by changes in the parameter of the VECM.

Cointegrated TFP Processes and International Business Cycles

A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error correction (VECM) and that

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Cointegrated TFP Processes and International Business Cycles

A central puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard International Real Business Cycle (IRBC) models cannot reproduce this fact when calibrated using conventional parameterizations, and can only generate one fourth of the real exchange rate volatility observed in the data. Typically, IRBC models

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Cointegrated TFP Processes and International Business Cycles

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Can International Macroeconomic Models Explain Low Frequency Movements of Real Exchange Rates

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Can International Macroeconomic Models Explain Low Frequency Movements of Real Exchange Rates

Real exchange rates exhibit important low-frequency fluctuations. This makes the analysis of real exchange rates at all frequencies a more sound exercise than the typical business cycle one, which compares actual and simulated data after the Hodrick-Prescott filter is applied to both. A simple two-country, two-good model, as described in

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