Cointegrated TFP Processes and International Business Cycles
Author:
Publisher: "la Caixa"
Published:
Total Pages: 50
ISBN-13:
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Cointegrated TFP Processes and International Business Cycles
Author: Mr.Pau Rabanal
Publisher: International Monetary Fund
Published: 2009-09-01
Total Pages: 55
ISBN-13: 145187359X
DOWNLOAD EBOOKA 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
Author: Pau Rabanal
Publisher:
Published: 2014
Total Pages: 54
ISBN-13:
DOWNLOAD EBOOKA 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 are solved assuming that total factor productivity (TFP) processes are stationary. In this paper, we first show that TFP processes for the U.S. and the quot;rest of the worldquot; have a unit root, are cointegrated, and can be jointly characterized with a Vector Error Correction Model (VECM). Then, we explore the implications of extending an otherwise standard international real business cycle model that allows for cointegrated technology shocks. We show that the model can account for the high real exchange rate volatility observed in the data without having to rely on any particular nominal or real friction. Also, we show that the increase of relative volatility of the real exchange rate with respect to output in the last 20 years can be explained by changes in the parameter estimates of the VECM.
Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates?
Author: Mr.Pau Rabanal
Publisher: International Monetary Fund
Published: 2012-01-01
Total Pages: 42
ISBN-13: 1463990197
DOWNLOAD EBOOKReal 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 Heathcote and Perri (2002), can explain the volatility of the real exchange rate when all frequencies are studied. The puzzle is that the model generates too much persistence of the real exchange rate instead of too little, as the business cycle analysis asserts. Finally, we show that the introduction of adjustment costs in production and in portfolio holdings allows us to reconcile theory and this feature of the data.
Europe, Like America
Author: Josep M. Colomer
Publisher: "la Caixa"
Published: 2010
Total Pages: 92
ISBN-13: 8469330217
DOWNLOAD EBOOKHeckscher-Ohlin Business Cycles
Author: Alejandro Cuñat
Publisher:
Published: 2002
Total Pages: 44
ISBN-13:
DOWNLOAD EBOOKAnalysis of Integrated and Cointegrated Time Series with R
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
Published: 2008-09-03
Total Pages: 193
ISBN-13: 0387759670
DOWNLOAD EBOOKThis book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Elasticity Optimism
Author: International Monetary Fund
Publisher: International Monetary Fund
Published: 2009-12-01
Total Pages: 47
ISBN-13: 1451874243
DOWNLOAD EBOOKIn most macroeconomic models, the substitutability between domestic and foreign goods is calibrated using aggregated data. This imposes homogeneous elasticities across goods, and the calibration is only valid under this assumption. If elasticities are heterogeneous, the aggregate substitutability is a weighted average of good-specific elasticities, which in general cannot be inferred from aggregated data. We identify structurally the substitutability in US goods using multilateral trade data. We impose homogeneity, and find an aggregate elasticity similar in value to conventional macroeconomic estimates. It is more than twice larger with sectoral heterogeneity. We discuss the implications in various areas of international economics.
Bangladesh
Author: International Monetary Fund
Publisher: International Monetary Fund
Published: 2002-06-07
Total Pages: 104
ISBN-13: 1451804091
DOWNLOAD EBOOKThis Selected Issues paper and Statistical Appendix examines Bangladesh’s nonfinancial state-owned enterprises. The paper argues that, given the overall policy environment and external vulnerabilities, the usefulness of the fixed exchange rate system in Bangladesh has run its course. Greater exchange rate flexibility is needed to ensure that the exchange rate sends appropriate market signals, and to enhance the authorities’ ability to address more effectively and timely both domestic imbalances and external real shocks arising from a rapidly changing global environment. The paper also outlines the structure and recent performance of the commercial banking sector.
