Understanding Real Exchange Rates

了解实际汇率

• 批准号: 0524868
• 负责人: Mario Crucini
• 金额: --
• 依托单位: Vanderbilt University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2005
• 资助国家: 美国
• 起止时间: 2005-09-01 至 2008-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0524868&HistoricalAwards=false
• 关键词: Understanding; Real; Exchange; Rates

This research proposal is divided into three sections. The first section describes ongoing efforts to build a large public-use micro-price archive patterned after the International Comparison Project. Key differences are the level of aggregation and the frequency of data. The ICP is based on international price surveys at 5-year intervals, interpolated to annual frequencies. Aggregation across goods and locations is conducted by national statistical agencies. Aggregation across locations within a country is necessary to achieve the goal of producing a national deflator. This project's ongoing efforts to compile micro-price data are motivated by a desire to unearth empirical facts that more clearly distinguish alternative theories of relative price determination than is possible with data commonly available. For example, the New Open Economy Macroeconomics is built upon the assumption that the Law-of-One-Price holds in the steady-state and that all goods are equally 'sticky' (usually) in domestic currency terms. This contrasts with the conventional dichotomy between traded and non-traded goods, with traded goods having smaller steady-state deviations from the Law-of-One-Price (i.e., shipping costs) and adjusting more quickly to the steady-state than non-traded goods. In our view this debate has been systematically biased by the use of aggregative index number data in place of micro-data. Aggregation is problematic because it inevitably involves averaging of deviations across traded and non-traded goods, thereby obscuring the differences between the two. The research from the previous NSF award demonstrated how the characteristics of goods (extent of trade and importance of non-traded inputs) influenced geographic price dispersion and relative price persistence. However, the investigators faced data limitations: their results on geographic price dispersion were confined to the EU while those for persistence involved the OECD and a sub-set of developing countries over a limited time period (the 1990s). The second section of this proposal uses the Economist Intelligence Unit data, spanning both intranational and global price comparisons to explore the earlier results in a broader empirical setting. The investigators organize their analysis around a simple partial equilibrium model of retail price determination in which each retail good is a composite of a traded and non-traded input. Taking various "cuts" at the data (i.e. cross-sectional, time series, geographic, and good-specific variation), the investigators demonstrate the model's ability to match many features of the data. The third part of the project will examine the robustness of prior findings in novel empirical settings; take the empirical work in new directions; and will assess the relative merit of alternative state-of-the-art models in accounting for the cross-sectional and time series behavior of international relative prices from the level of individual goods up to aggregative price levels.Broader Impacts: The data from this project archives will be at the level of individual goods and services in particular locations (typically these will be large cities, though some of the data extends down to the level of retail establishments). Each individual archive represents a substantial increase in available micro-data in existence for research purposes. The investigators also plan to make existing micro-price databases that have been used in published research available on the same internet site.

本研究建议分为三个部分。第一节介绍目前正在努力仿照国际比较项目的模式建立一个大型公共使用微观价格档案。主要的区别在于数据的汇总程度和频率。国际比较方案是根据每隔5年进行的国际价格调查得出的，内插为每年的频率。国家统计机构对货物和地点进行汇总。为了实现编制国家平减指数的目标，有必要进行一国境内各地点的汇总。 本项目正在努力汇编微观价格数据，其动机是希望发掘经验事实，以便比通常可用的数据更清楚地区分相对价格决定的其他理论。例如，新开放经济宏观经济学建立在一价定律在稳态下成立，所有商品在国内货币条件下都具有同等的“粘性”（通常）的假设之上。这与贸易和非贸易商品之间的传统二分法形成对比，贸易商品与一价定律的稳态偏差较小（即，运输成本），并且比非贸易商品更快地调整到稳定状态。我们认为，由于使用综合指数数据代替微观数据，这场辩论有系统地带有偏见。汇总是有问题的，因为它不可避免地涉及对贸易和非贸易货物之间的偏差进行平均，从而掩盖了两者之间的差异。 美国国家科学基金会上一个奖项的研究表明，商品的特点（贸易范围和非贸易投入的重要性）如何影响地理价格分散和相对价格持续性。然而，调查人员面临着数据的局限性：他们关于地理价格分散的结果仅限于欧盟，而关于持久性的结果则涉及经合组织和有限时期（1990年代）的一组发展中国家。本建议的第二部分使用《经济学人》信息处的数据，涵盖国内和全球价格比较，在更广泛的经验背景下探讨早期的结果。 调查人员组织他们的分析围绕一个简单的部分均衡模型的零售价格决定，其中每一个零售商品是一个交易和非交易的投入的组合。通过对数据进行各种“切割”（即横截面、时间序列、地理和特定商品的变化），研究人员展示了模型匹配数据的许多特征的能力。 该项目的第三部分将审查先前研究结果在新的实证环境中的稳健性;将实证工作引向新的方向;并将评估其他最先进的模型在解释国际相对价格的横截面和时间序列行为方面的相对优点，从单个商品的水平到总体价格水平。来自该项目档案的数据将处于特定位置的单个商品和服务水平（通常这些将是大城市，尽管一些数据向下延伸到零售机构水平）。每一个单独的档案都代表着现有用于研究目的的微观数据的大量增加。 研究人员还计划将已发表研究中使用的现有微观价格数据库放在同一个网站上。