The Anatomy of Real Exchange Rates

实际汇率剖析

• 批准号: 0136979
• 负责人: Mario Crucini
• 金额: $ 22.67万
• 依托单位: Vanderbilt University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2002
• 资助国家: 美国
• 起止时间: 2002-06-01 至 2005-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0136979&HistoricalAwards=false
• 关键词: Anatomy; Real; Exchange; Rates

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.

国际经济学中一个古老的问题是，是什么决定了一种商品或一篮子商品在一个国家相对维斯另一个国家的相对价格。 第一代实证研究主要利用消费者价格指数，记录了与“购买力平价”（PPP）的巨大而持续的偏离。结果更多的是提出了更多的问题，而不是提供答案。这里提出的研究议程遵循第二代工作，采取下一个合乎逻辑的步骤：检查许多不同国家数以千计的个别商品和服务的当地货币价格的面板数据。该项目融合了理论和实证分析，以更好地理解单个商品的相对价格如何随时间演变，这与总体相对价格的行为有何关系，以及这告诉我们什么是名义汇率。该项目由三个相关部分组成。每一个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公开这些数据。第一部分着重于欧洲联盟，研究了1975年、1980年、1985年和1990年5 000多种商品和服务对单一价格法则的偏离情况。 它发现，在大多数国家之间，价格过高的商品和价格过低的商品大致相当。尽管名义汇率的波动相对较大，但这种现象在不同时期是稳定的。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，表明与购买力平价的偏差很小。相反，跨部门的分散程度很大，但它与商品的经济上有意义的特征有关，如国际贸易能力、生产要素的贸易能力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。与其他人一样，我们发现，相对贫穷国家的价格水平较低。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总体国际相对价格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商品价格的趋同。第三个项目模拟微观经济价格的动态。初步结果发现，对大多数商品来说，偏离一价定律的半衰期小于1年。这与以前根据总价格指数所作的工作不同，后者所作的估计为3至5年。我们的数据在不同时间和数据集之间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调查途径。