Cointegrated TFP processes and international business cycles /
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| Author / Creator: | Rabanal, Pau, author. |
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| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2009. |
| Description: | 1 online resource (53 pages) : illustrations (some color) |
| Language: | English |
| Series: | IMF working paper ; WP/09/212 IMF working paper ; WP/09/212. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12497940 |
| 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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| Physical Description: | 1 online resource (53 pages) : illustrations (some color) |
| Format: | 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. |
| Bibliography: | Includes bibliographical references (pages 46-50). |
| ISBN: | 1462377963 9781462377961 145187359X 9781451873597 1452755108 9781452755106 1282844180 9781282844186 9786612844188 6612844183 |