Volatility and persistence of simulated DSGE real exchange rates

Yamin Ahmad, Ming Chien Lo and Olena Mykhaylova
Authors registered in the RePEc Author Service: Olena Staveley-O'Carroll ()

Economics Letters, 2013, vol. 119, issue 1, 38-41

Abstract: We investigate the time series properties of both filtered and unfiltered real exchange rate series produced by DSGE models that feature local currency pricing, home bias, nontraded goods, and incomplete markets. Detrended series produced by several specifications approach the empirically observed volatility, although none of the models generates enough persistence. Conversely, several models produce unfiltered series that possess the same degree of persistence as the data, but none can match its volatility.

Keywords: Volatility; Persistence; Real exchange rate dynamics; DSGE modeling (search for similar items in EconPapers)
JEL-codes: C15 C32 F41 F47 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:1:p:38-41

DOI: 10.1016/j.econlet.2012.12.032

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