Title of article :
CointegratedTFPprocessesandinternationalbusinesscycles
Author/Authors :
Pau Rabanal، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
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
Journal title :
Journal of Monetary Economics
