Cointegrated TFP processes and international business cycles
Pau Rabanal,
Juan F Rubio-Ramirez and
Vicente Tuesta
Journal of Monetary Economics, 2011, vol. 58, issue 2, 156-171
Abstract:
A puzzle in international macroeconomics is that real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. This paper provides evidence that TFP processes for the U.S. and the "rest of the world" are characterized by a vector error correction model (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps to explain the observed high real exchange rate volatility. Also, the model can explain the observed increase in real exchange rate volatility with respect to output in the last 20 years by changes in the parameters of the VECM.
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (60)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393211000195
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Cointegrated TFP Processes and International Business Cycles (2010) 
Working Paper: Cointegrated TFP processes and international business cycles (2009) 
Working Paper: Cointegrated TFP Processes and International Business Cycles (2009) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:58:y:2011:i:2:p:156-171
Access Statistics for this article
Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser
More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().