Hidden Bibliographic Details
| Other authors / contributors: | Rubio-Ramírez, Juan Francisco, author.
Tuesta, Vicente, author.
International Monetary Fund. Research Department.
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| ISBN: | 1462377963
9781462377961
145187359X
9781451873597
1452755108
9781452755106
1282844180
9781282844186
9786612844188
6612844183
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| Digital file characteristics: | data file
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| Notes: | Includes bibliographical references (pages 46-50).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2011 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | A 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.
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| Other form: | Print version: Rabanal, Pau. Cointegrated TFP processes and international business cycles. [Washington, D.C.] : International Monetary Fund, ©2009
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