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Monetary Shocks And Real Exchange Rates In Sticky Price Models Of Internatioanl Business Cycles
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Book Synopsis Monetary Shocks and Real Exchange Rates in Sticky Price Models of International Business Cycles by : V. V. Chari
Download or read book Monetary Shocks and Real Exchange Rates in Sticky Price Models of International Business Cycles written by V. V. Chari and published by . This book was released on 1997 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The data show large and persistent deviations of real exchange rates from purchasing power parity. Recent work has shown that to a large extent these movements are driven by deviations from the law of one price for traded goods. In the data, real and nominal exchange rates are about 6 times as volatile as relative price levels and they both are highly persistent, with serial correlations of 0.85 and 0.83, respectively. This paper develops a sticky price model with price discriminating monopolists, which produces deviations from the law of one price for traded goods. Our benchmark model, which has prices set for one quarter at a time and a unit consumption elasticity of money demand, does not come close to reproducing these observations. A model which has producers setting prices for 6 quarters at a time and a consumption elasticity of money demand of 0.27 does much better. In it real and nominal exchange rates are about 3 times as volatile as relative price levels and exchange rates are persistent, with serial correlations of 0.65 and 0.66, respectively.
Book Synopsis Monetary shocks and real exchange rates in sticky models of international business cycles by :
Download or read book Monetary shocks and real exchange rates in sticky models of international business cycles written by and published by . This book was released on 1997 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Shocks and Real Exchange Rates in Sticky Price Models of Internatioanl Business Cycles by : V.V.. Chari
Download or read book Monetary Shocks and Real Exchange Rates in Sticky Price Models of Internatioanl Business Cycles written by V.V.. Chari and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Real Exchange Rate Fluctuations and the Business Cycle by : Mr.Bankim Chadha
Download or read book Real Exchange Rate Fluctuations and the Business Cycle written by Mr.Bankim Chadha and published by International Monetary Fund. This book was released on 1996-11-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the relationship between the real exchange rate and the business cycle in Japan during the floating rate period. A structural vector autoregression is used to identify different types of macroeconomic shocks that determine fluctuations in aggregate output and the real exchange rate. Relative nominal and real demand shocks are found to be the main determinants of variation in real exchange rate changes, while relative output growth is driven primarily by supply shocks. Historical decompositions suggest that the sharp appreciations of the yen in 1993 and 1995 and its subsequent depreciation can be attributed primarily to relative nominal shocks.
Book Synopsis The Exchange Rate in a Dynamic-Optimizing Current Account Model with Nominal Rigidities by : Robert Miguel W. K. Kollman
Download or read book The Exchange Rate in a Dynamic-Optimizing Current Account Model with Nominal Rigidities written by Robert Miguel W. K. Kollman and published by International Monetary Fund. This book was released on 1997-01-01 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.
Author :Wai-Ming Ho Publisher :London : Department of Economics, University of Western Ontario ISBN 13 : Total Pages :60 pages Book Rating :4.:/5 (318 download)
Book Synopsis Liquidity, Exchange Rates, and Business Cycles by : Wai-Ming Ho
Download or read book Liquidity, Exchange Rates, and Business Cycles written by Wai-Ming Ho and published by London : Department of Economics, University of Western Ontario. This book was released on 1992 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? by : V. V. Chari
Download or read book Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? written by V. V. Chari and published by . This book was released on 2000 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central puzzle in international business cycles is that real exchange rates are volatile and persistent. The most popular story for real exchange rate fluctuations is that they are generated by monetary shocks interacting with sticky goods prices. We quantify this story and find that it can account for some of the observed properties of real exchange rates. When prices are held fixed for at least one year, risk aversion is high and preferences are separable in leisure, the model generates real exchange rates that are as volatile as in the data. The model also generates real exchange rates that are persistent, but less so than in the data. If monetary shocks are correlated across countries, then the comovements in aggregates across countries are broadly consistent with those in the data. Making asset markets incomplete or introducing sticky wages does not measurably change the results.
Book Synopsis Real Exchange Rate Effects of Monetary Shocks Under Fixed and Flexible Exchange Rates by : Reuven Glick
Download or read book Real Exchange Rate Effects of Monetary Shocks Under Fixed and Flexible Exchange Rates written by Reuven Glick and published by . This book was released on 1987 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates? by : Mr.Pau Rabanal
Download or read book Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates? written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2012-01-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real 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.
Book Synopsis Explaining International Comovements of Output and Asset Returns by : Robert Miguel W. K. Kollman
Download or read book Explaining International Comovements of Output and Asset Returns written by Robert Miguel W. K. Kollman and published by International Monetary Fund. This book was released on 1999-06-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact. This paper presents a dynamic-optimizing stochastic general equilibrium model of a two-country world with sticky nominal prices and wages and a flexible exchange rate. The structure here predicts positive international transmission of country-specific monetary policy and technology shocks, and it generates sizable cross-country correlations of output and of asset returns.
Book Synopsis The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models by : Jón Steinsson
Download or read book The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models written by Jón Steinsson and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing empirical evidence suggests that real exchange rates exhibit hump-shaped dynamics. I show that this is a robust fact across nine large, developed economies. This fact can help explain why existing sticky-price business cycle models have been unable to match the persistence of the real exchange rate. The recent literature has focused on models driven by monetary shocks. These models yield monotonic impulse responses for the real exchange rate. It is extremely difficult for models that have this feature to match the empirical persistence of the real exchange rate. I show that in response to a number of different real shocks a two-country sticky-price business cycle model yields hump-shaped dynamics for the real exchange rate. The hump-shaped dynamics generated by the model are a powerful source of endogenous persistence that allows the model to match the long half-life of the real exchange rate.
Book Synopsis Business Cycles and the Exchange Rate System by : Marianne Baxter
Download or read book Business Cycles and the Exchange Rate System written by Marianne Baxter and published by . This book was released on 1988 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates empirically the differences in time?series behavior of key economic aggregates under alternative exchange rate systems. We use a postwar sample of 49 countries to compare the behavior of output. consumption, trade flows, government consumption spending, and real exchange rates under alternative exchange rate systems (pegged, floating, and systems such as the EMS). We then examine evidence from two particular episodes, involving Canada and Ireland, of changes in the exchange rate system. Aside from greater variability of real exchange rates under flexible than under pegged nominal exchange rate systems, we find little evidence of systematic differences in the behavior of other macroeconomic aggregates or international trade flows under alternative exchange rate systems. These results are of interest because a large class of theoretical models implies that the nominal exchange rate system has important effects on a number of macroeconomic quantities.
Book Synopsis Real Business Cycles, Real Exchange Rates and Actual Policies by : Allan H. Meltzer
Download or read book Real Business Cycles, Real Exchange Rates and Actual Policies written by Allan H. Meltzer and published by . This book was released on 1986 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Sticky Prices, Money and Business Fluctuations by : Joseph G. Haubrich
Download or read book Sticky Prices, Money and Business Fluctuations written by Joseph G. Haubrich and published by . This book was released on 1990 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models by : Jon Steinsson
Download or read book The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models written by Jon Steinsson and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing empirical evidence suggests that real exchange rates exhibit hump-shaped dynamics. I show that this is a robust fact across nine large, developed economies. This fact can help explain why existing sticky-price business cycle models have been unable to match the persistence of the real exchange rate. The recent literature has focused on models driven by monetary shocks. These models yield monotonic impulse responses for the real exchange rate. It is extremely difficult for models that have this feature to match the empirical persistence of the real exchange rate. I show that in response to a number of different real shocks a two-country sticky-price business cycle model yields hump-shaped dynamics for the real exchange rate. The hump-shaped dynamics generated by the model are a powerful source of endogenous persistence that allows the model to match the long half-life of the real exchange rate.
Book Synopsis Sticky Exchange Rates and Flexible Prices by : Ms.Anne Marie Gulde
Download or read book Sticky Exchange Rates and Flexible Prices written by Ms.Anne Marie Gulde and published by International Monetary Fund. This book was released on 1991-12 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real exchange rate variability tends to be higher under flexible than under fixed exchange rates. The neokeynesian view attributes the higher variability to the combination of volatile nominal exchange rates with sticky prices. The neoclassical approach regards an increased incidence of real shocks as the culprit. We test the crucial assumptions underlying the two models for the interwar period. Prices and exchange rates are found to be equally flexible. We hence reject the neokeynesian sticky price view for our sample period. In contrast, our results are consistent with, while not constituting evidence for, the neoclassical equilibrium approach.
Book Synopsis Real Exchange Rate Levels, Productivity and Demand Shocks by : Menzie Chinn
Download or read book Real Exchange Rate Levels, Productivity and Demand Shocks written by Menzie Chinn and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
