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2 edition of Monetary shocks and real exchange rates in sticky price models of international business cycles found in the catalog.

Monetary shocks and real exchange rates in sticky price models of international business cycles

V. V. Chari

Monetary shocks and real exchange rates in sticky price models of international business cycles

by V. V. Chari

  • 110 Want to read
  • 27 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Business cycles -- Econometric models.,
  • Foreign exchange rates -- Econometric models.,
  • Prices -- Econometric models.

  • Edition Notes

    StatementV.V. Chari, Patrick J. Kehoe, Ellen R. McGrattan.
    SeriesNBER working paper series -- working paper 5876, Working paper series (National Bureau of Economic Research) -- working paper no. 5876.
    ContributionsKehoe, Patrick J., McGrattan, Ellen R., National Bureau of Economic Research.
    The Physical Object
    Pagination25, [12] p. :
    Number of Pages25
    ID Numbers
    Open LibraryOL22410931M

      The average serial correlation reported is , implying a half-life of the real exchange rate of thirty-three months. 2 Rogoff associates the slow adjustment of real exchange rates with price stickiness, though concludes that there must also be poor integration of international goods markets in order to explain real exchange rate persistence. 3   This paper studies a quantitative dynamic-optimizing business cycle model of a small open economy with staggered price and wage setting. The model exhibits exchange rate overshooting in response to money supply shocks. Predicted standard deviations of the nominal and, particularly of the real exchange rate are noticeably higher - and closer to the data - than in standard RBC models with

    The central puzzle in international business cycles is that real exchange rates are volatile and persistent. The most popular story for real exchange rate fluctuations is that they are generated by monetary shocks interacting with sticky goods prices. We quantify this story and find that it can account for some of the observed properties of   22 C. Engel / Journal of Monetary Economics () 21–32 Table 1 Serial correlation of real exchange rate and monetary shocks. January –December Country T qt i t−i j tu T1 u T 2 u T 3 u 4 Canada ~cengel/PublishedPapers/

    The exchange rate models presented in this chapter are useful to analyze the short-run dynamics, when prices have not yet completely adjusted to shocks in the economy. This chapter covers two sticky price models. In the first, known as the Mundell–Fleming model, prices are maintained :// Abstract. The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and persistent. We quantify the popular story for real exchange rate fluctuations: they are generated by monetary shocks interacting with sticky goods ://


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Monetary shocks and real exchange rates in sticky price models of international business cycles by V. V. Chari Download PDF EPUB FB2

Monetary Shocks and Real Exchange Rates in Sticky Price Models of International Business Cycles V. Chari, Patrick J. Kehoe, Ellen R.

McGrattan. NBER Working Paper No. Issued in January NBER Program(s):Economic Fluctuations and Growth, International   Monetary Shocks and Real Exchange Rates in Sticky Price Models of International Business Cycles.

Varadarajan Chari (), Patrick Kehoe and Ellen McGrattan. NoNBER Working Papers from National Bureau of Economic Research, Inc Abstract: The data show large and persistent deviations of real exchange rates from purchasing power parity. Recent work has shown that to a large extent these :nbr:nberwo Downloadable.

The data show large and persistent deviations of real exchange rates from purchasing power parity. Recent work has shown that to a large extent these movements are driven by deviations from the law of one price for traded goods.

In the data, real and nominal exchange rates are about 6 times as volatile as relative price levels and they both are highly persistent, with serial Get this from a library. Monetary shocks and real exchange rates in sticky price models of international business cycles.

[V V Chari; Patrick J Kehoe; Ellen R McGrattan; National Bureau of Economic Research.] -- Abstract: The data show large and persistent deviations of real exchange rates from purchasing power parity. Recent work has shown that to a large extent these movements are driven INVESTMENT AND REAL EXCHANGE RATES IN STICKY PRICE MODELS - Volume 17 Issue 2 - Enrique Martínez-García, Jens Søndergaard productivity and IST shocks trigger highly persistent real exchange rates, whereas monetary shocks do not.

Technology Shocks: Novel Implications for International Business Cycles. International finance discussion   real exchange rate variations since can be explained in substantial 1M. Baxter and Allan C. Stockman, “Business cycles and the Exchange Rate Regime: Some International Evidence”, Journal of Monetary Economics, Vol.

23, Issue 3 (May),2Robert P. Flood and Andrew K. Rose, “Fixing Exchange Rates: A Virtual Quest for   tradition of recent international real business-cycle models, primarily focused on exploring the link between monetary policy and the real exchange rate.

International real business-cycle (RBC) models (e.g., Backus, Kehoe, and KydlandAhmed   The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and persistent.

We quantify the popular story for real exchange rate fluctuations: they are generated by monetary shocks interacting with sticky goods prices. If ~kkasa/charietalpdf. The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models: Comment by Jens Iversen and Ulf Söderström.

Published in volumeissue 3, pages of American Economic Review, MarchAbstract: In an article published in the American Economic Review, Jón Steinsson () argue ?id=/aer   10 Open Economy Models with Nominal Rigidity 62 Chari, Kehoe and McGrattan (): \Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?".

The central puzzle in international business cycles is that real exchange rates are volatile and persistent. Ever since the work of Dornbusch (), the most popular story for exchange rate fluctuations is that they result from the interaction of monetary shocks and sticky ~tkehoe/classes/srpdf.

In the real business model, monetary changes can forecast real activity because both productivity and money are related to many underlying sources of shocks and because economic agents know the relationship between money and these real shocks.

In the models with “sticky prices” and “liquidity e ffects” (short-hand names for~mwatson/papers/ Monetary shocks and real exchange rates in sticky price models of international business cycles. Cambridge, MA: National Bureau of Economic Research, © (OCoLC) Material Type: Government publication, National government publication, Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Downloadable.

We prove that the ratio of kurtosis to the frequency of price changes is a sufficient statistic for the real effects of monetary shocks, measured by the cumulated output response following the shock.

The sufficient statistic result holds in a large class of models which includes Taylor (); Calvo (); Reis (); Golosov and Lucas (); Nakamura and Steinsson (   The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models Jón Steinsson. NBER Working Paper No.

Issued in April NBER Program(s):International Finance and Macroeconomics, Monetary Economics Existing empirical evidence suggests that real exchange rates exhibit hump-shaped ://   Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates.

V.V. Chari, Patrick J. Kehoe, Ellen R. McGrattan. NBER Working Paper No. Issued in September NBER Program(s):Economic Fluctuations and Growth, International Finance and Macroeconomics The central puzzle in international business cycles is that real exchange rates are volatile and Downloadable.

The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and persistent. We quantity the popular story for real exchange rate fluctuations: they are generated by monetary shocks interacting with sticky goods prices.

If prices are held fixed for at least one year, risk aversion is high, and preferences are separable in leisure   While many international economists have argued that price stickiness is important for understanding real exchange rate fluctuations 1, most exchange rate models are based on the principle of the law-of-one-price in internationally traded goods.

Deviations from purchasing power parity arise only if there are movements in the relative price of Downloadable. The conventional wisdom is that monetary shocks interact with sticky goods prices to generate the observed volatility and persistence in real exchange rates.

We investigate this conventional wisdom in a quantitative model with sticky prices. We find that with preferences as in the real business cycle literature, irrespective of the length of price stickiness, the model   Fig.

4 reports the impulse responses (over 4 years) of some aggregates of non-U.S., G-6 countries. 22 In most cases, U.S. expansionary monetary policy shocks lead to increases in real GDP and industrial production (IP) of foreign countries.

The increases are significant with at least 95% probability in the CEE-X models and with at least 68% probability in most CEE-R ://.

Monetary shocks and real exchange rates in sticky price models of international business cycles. Staff Report Federal Reserve Bank of Minneapolis. Monacelli, T., Into the Mussa puzzle: Monetary policy regimes and the real exchange rate in a small open economy. Discussion paper.

New York ://Downloadable! The central puzzle in international business cycles is that real exchange rates are volatile and persistent.

The most popular story for real exchange rate fluctuations is that they are generated by monetary shocks interacting with sticky goods prices. We quantify this story and find that it can account for some of the observed properties of real exchange ://  Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?

Varadarajan Chari (), Patrick Kehoe and Ellen McGrattan. Review of Economic Studies,vol. 69, issue 3, Abstract: The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and persistent. We quantify the :oup:restud:vyip