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Euro-dollar real exchange rate dynamics in an estimated two-country model : what is important and what is not /
We use a Bayesian approach to estimate a standard two-country New Open Economy Macroeconomics model using data for the United States and the euro area, and we perform model comparisons to study the importance of departing from the law of one price and complete markets assumptions. Our results can be...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2006.
|
| Colección: | IMF working paper ;
WP/06/177. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Rabanal, Pau, |e author. | |
| 245 | 1 | 0 | |a Euro-dollar real exchange rate dynamics in an estimated two-country model : |b what is important and what is not / |c prepared by Pau Rabanal and Vicente Tuesta. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c 2006. | ||
| 300 | |a 1 online resource (40 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/06/177 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a We use a Bayesian approach to estimate a standard two-country New Open Economy Macroeconomics model using data for the United States and the euro area, and we perform model comparisons to study the importance of departing from the law of one price and complete markets assumptions. Our results can be summarized as follows. First, we find that the baseline model does a good job in explaining real exchange rate volatility but at the cost of overestimating volatility in output and consumption. Second, the introduction of incomplete markets allows the model to better match the volatilities of all real variables. Third, introducing sticky prices in Local Currency Pricing improves the fit of the baseline model but does not improve the fit as much as introducing incomplete markets. Finally, we show that monetary shocks have played a minor role in explaining the behavior of the real exchange rate, while both demand and technology shocks have been important. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a 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. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. THE MODEL -- III. EXTENSIONS TO THE BASELINE MODEL -- IV. ESTIMATION AND MODEL COMPARISON -- V. RESULTS -- VI. CONCLUDING REMARKS -- APPENDIX: THE METROPOLIS-HASTINGS ALGORITHM -- REFERENCES | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Euro-dollar market |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates |z United States |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates |z European Union countries |x Econometric models. | |
| 650 | 6 | |a Taux de change |z États-Unis |x Modèles économétriques. | |
| 650 | 6 | |a Taux de change |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 7 | |a Euro-dollar market |x Econometric models |2 fast | |
| 650 | 7 | |a Foreign exchange rates |x Econometric models |2 fast | |
| 651 | 7 | |a European Union countries |2 fast | |
| 651 | 7 | |a United States |2 fast |1 https://id.oclc.org/worldcat/entity/E39PBJtxgQXMWqmjMjjwXRHgrq | |
| 700 | 1 | |a Tuesta, Vicente, |e author. | |
| 758 | |i has work: |a Euro-dollar real exchange rate dynamics in an estimated two-country model (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGqbvgqGPH6tkvxfGWT3pP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Rabanal, Pau. |t Euro-dollar real exchange rate dynamics in an estimated two-country model. |d Washington, D.C. : International Monetary Fund, Central Asia Dept., ©2006 |w (OCoLC)131372438 |
| 830 | 0 | |a IMF working paper ; |v WP/06/177. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014352 |z Texto completo |
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