Sticky prices and sectoral real exchange rates
Sticky prices and sectoral real exchange rates
复制标题
粘性价格和部门实际汇率
DOI：
10.21034/wp.656
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Virgiliu Midrigan
中科院分区：
文献类型：
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作者：
P. Kehoe;Virgiliu Midrigan
对于真实的汇率的持续性和波动性的经典解释是，它们是具有粘性商品价格的经济体中名义冲击的结果。这一解释的一个关键含义是，如果商品的价格粘性程度不同，那么粘性相对较大的商品往往具有相对更持久和更不稳定的良好水平的真实的汇率。使用面板数据，我们发现只有适度的支持这些关键的影响。持久性理论的预测有一定的支持：在数据中，一种商品的价格越具有粘性，其真实的汇率就越具有持久性，但该理论预测的持久性变化要比数据中的变化大得多。该理论对波动性的预测效果不太好：在数据中，一种商品的价格越粘，其条件方差就越小，而在该理论中，情况正好相反。我们发现，允许定价互补性导致适度的改善，在理论的预测持久性，但改善不大，在理论的预测条件方差。
The classic explanation for the persistence and volatility of real exchange rates is that they are the result of nominal shocks in an economy with sticky goods prices. A key implication of this explanation is that if goods have differing degrees of price stickiness then relatively more sticky goods tend to have relatively more persistent and volatile good-level real exchange rates. Using panel data, we find only modest support for these key implications. The predictions of the theory for persistence have some modest support: in the data, the stickier is the price of a good the more persistent is its real exchange rate, but the theory predicts much more variation in persistence than is in the data. The predictions of the theory for volatility fare less well: in the data, the stickier is the price of a good the smaller is its conditional variance while in the theory the opposite holds. We show that allowing for pricing complementarities leads to a modest improvement in the theory's predictions for persistence but little improvement in the theory's predictions for conditional variances.