| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 967254 | Journal of Monetary Economics | 2011 | 16 Pages |
Abstract
⺠Cointegrated TFP shocks are added to an otherwise standard international real business cycle model. ⺠The cointegration relationship is estimated from using U.S. data and a rest of the world aggregate. ⺠It is shown how cointegrated TFP shocks help explain real exchange rate volatility. ⺠The model can also explain the observed increase in real exchange rate volatility in the last 20 years.
Related Topics
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Economics and Econometrics
Authors
Pau Rabanal, Juan F. Rubio-RamÃrez, Vicente Tuesta,