Volatility and Persistence of Simulated DSGE Real Exchange Rates

Yamin Ahmad, Ming Lo () and Olena Mykhaylova ()
Additional contact information
Ming Lo: Department of Economics, St Cloud State University
Olena Mykhaylova: Department of Economics, University of Richmond
Authors registered in the RePEc Author Service: Olena Staveley-O'Carroll ()

Working Papers from UW-Whitewater, Department of Economics

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 generate 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: Real Exchange Rate Dynamics; Nonlinear Dynamics; DSGE Modeling; Smooth Transition Estimation; Simulations (search for similar items in EconPapers)
JEL-codes: F41 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2011-01, Revised 2012-11
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mon, nep-opm and nep-ore
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Forthcoming in Economics Letters

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Related works:
Journal Article: Volatility and persistence of simulated DSGE real exchange rates (2013)
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