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Author Rabanal, Pau.

Title Cointegrated TFP processes and international business cycles / prepared by Pau Rabanal, Juan F. Rubio-Ramírez, and Vicente Tuesta
Published [Washington, D.C.] : International Monetary Fund, Research Dept., 2009
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Description 1 online resource
Series IMF working paper ; 09/212
IMF working paper ; WP/09/212
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
Notes "September 2009."
Bibliography Includes bibliographical references (pages 46-50)
Notes Online (ebrary)
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 MiAaHDL
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL
Description based on print version record
Subject Business cycles -- Econometric models.
Foreign exchange rates -- Econometric models.
Form Electronic book
Author Rubio-Ramírez, Juan Francisco.
Tuesta, Vicente.
ebrary, Inc.
International Monetary Fund. Research Department.
ISBN 9781451917819
Other Titles Ebrary Academic Complete International Subscription Collection