Cointegrated TFP Processes and International Business Cycles
Vicente Tuesta (),
Juan F. Rubio-Ramirez and
Pau Rabanal ()
No 2009/212, IMF Working Papers from International Monetary Fund
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.
Keywords: Real exchange rates; Total factor productivity; Vector error correction models; Consumption; Sustainable growth; WP,exchange rate,standard deviation (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (20) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden
Journal Article: Cointegrated TFP processes and international business cycles (2011)
Working Paper: Cointegrated TFP Processes and International Business Cycles (2010)
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)
Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2009/212
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().