The Anatomy of Real Exchange Rates

国际经济学中一个古老的问题是，是什么决定了一国或一篮子商品相对于另一国的相对价格。第一代实证工作，主要利用消费者价格指数，已经记录了与“购买力平价”（PPP）的巨大且持续的偏差。结果更多的是提出了更多的问题，而不是提供了答案。在这里提出的研究议程之前，第二代工作采取了下一个合乎逻辑的步骤：检查许多不同国家数千种个人商品和服务的当地货币价格的面板数据。该项目将理论和实证分析相结合，以更好地理解单个商品的相对价格如何随时间演变，这与总相对价格的行为有何关系，以及这告诉我们什么关于名义汇率的信息。本项目由三个相关部分组成。两者的本质都是关于许多国家和时期的许多商品和服务的新数据。该项目的一个重要目标是使这些数据公开可用。第一部分着重于欧洲联盟，研究了1975年、1980年、1985年和1990年5000多种商品和服务偏离“一价定律”的情况。报告发现，在大多数国家之间，价格过高的商品数量与价格过低的商品数量大致相当。尽管名义汇率会出现相对较大的波动，但这种现象在时间上是稳定的。一价定律偏差的等加权平均值很小，特别是在控制了国民收入水平之后。cpi加权平均值也很小，表明与购买力平价（PPP）的偏差很小。相反，横截面分散很大，但它与商品的经济意义特征有关，如国际可贸易性、生产要素的可贸易性和商品销售市场的竞争结构。第二部分将工作扩展到79个国家的122个城市。与欧洲相比，我们既有相似之处，也有不同之处。和其他人一样，我们发现相对贫穷的国家的物价水平更低。当我们区分贸易商品和非贸易商品时，我们发现后者在解释国际总相对价格的行为方面起着主导作用。例如，1990年至2000年期间价格差距总体水平的下降主要是由于非贸易货物价格的趋同。第三个项目模拟微观经济价格的动态。初步结果发现，大多数商品偏离一价定律的半衰期小于1年。这与以前基于总价格指数的工作不同，后者产生了3至5年的估计。我们的数据在时间和数据集上的进一步动态协调仍在进行中。一旦完成，这种和解将开辟许多新的研究方向。

A time immemorial question in international economics asks what determines the relative price of a good, or a basket of goods, in one country vis-a-vis another. The first generation of empirical work, utilizing primarily consumer price indices, has documented large and persistent deviations from 'purchasing power parity' (PPP). The outcome has been more one of raising additional questions than providing answers. The research agenda proposed here follows a second generation of work taking the next logical step: examining panel data on local currency prices of literally thousands of individual goods and services across many different countries. This project blends theoretical and empirical analysis to better understand how relative prices of individual goods evolve over time, how this relates to the behavior of aggregate relative prices, and what this tells us about nominal exchange rates. This project consists of three related parts. The essence of each is new data on many goods and services across many countries and time periods. An important goal of the project is to make these data available publicly. The first part focuses on the European Union, studying good-by-good deviations from the Law-of-One-Price for over 5,000 goods and services for the years 1975, 1980, 1985 and 1990. It finds that between most countries there are roughly as many overpriced goods as there are underpriced goods. This phenomenon is stable across time, in spite of relatively large swings in nominal exchange rates. Equally weighted averages of Law-of-One-Price deviations are small, especially after controlling for national income levels. CPI-weighted averages are also small, indicating that deviations from Purchasing Power Parity (PPP) are small. Cross-sectional dispersion, in contrast, is large, but it is related to economically meaningful characteristics of goods such as international tradability, tradability of factors of production and the competitive structure of the markets in which the goods are sold. The second part extends the work to 122 cities across 79 countries. Compared to Europe, we find both similarities and differences. We find, as others have, that price levels are lower in relatively poor countries. When we distinguish between traded and non-traded goods we find that the latter play a dominant role in explaining the behavior of aggregate international relative prices. A decrease in the overall level of price dispersion between 1990 and 2000, for instance, is primarily attributable to convergence in the prices of non-traded goods. The third project models the dynamics of microeconomic prices. Preliminary results find that the half-lives of deviations from the Law-of-One-Price are less than 1 year for most goods. This differs from previous work based on aggregate price indices, which has produced estimates between 3 and 5 years. Further dynamic reconciliation of our data, both across time and data sets, remains work-in-progress. Once complete, this reconciliation will open up many new lines of inquiry.