Title of article
CointegratedTFPprocessesandinternationalbusinesscycles
Author/Authors
Pau Rabanal، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
16
From page
156
To page
171
Abstract
A puzzleininternationalmacroeconomicsisthatrealexchangeratesarehighlyvolatile.
Standardinternationalrealbusinesscycle(IRBC)modelscannotreproducethisfact.
This paperprovidesevidencethatTFPprocessesfortheU.S.andthe‘‘restofthe
world’’arecharacterizedbyavectorerrorcorrectionmodel(VECM)andthatadding
cointegratedtechnologyshockstothestandardIRBCmodelhelpstoexplainthe
observedhighrealexchangeratevolatility.Also,themodelcanexplaintheobserved
increaseinrealexchangeratevolatilitywithrespecttooutputinthelast20yearsby
changesintheparametersoftheVECM
Journal title
Journal of Monetary Economics
Serial Year
2011
Journal title
Journal of Monetary Economics
Record number
846462
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