Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks

International real business cycle (IRBC) models predict a real exchange rate volatility that is much lower than the levels observed in the data. In this paper, we build a two-country IRBC model with both a traded and a non-traded goods sector, and calibrate it to UK-euro area (EA) data. We provide e...

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Detalles Bibliográficos
Autores: Dogan, Aydan, Bettendorf, Timo
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2020
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/200300
Acceso en línea:https://hdl.handle.net/2445/200300
Access Level:acceso abierto
Palabra clave:Mercat financer
Transferència de tecnologia
Tecnologia
Financial market
Technology transfer
Technology
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spelling Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocksDogan, AydanBettendorf, TimoMercat financerTransferència de tecnologiaTecnologiaFinancial marketTechnology transferTechnologyInternational real business cycle (IRBC) models predict a real exchange rate volatility that is much lower than the levels observed in the data. In this paper, we build a two-country IRBC model with both a traded and a non-traded goods sector, and calibrate it to UK-euro area (EA) data. We provide evidence on the existence of a cointegrating relationship between UK and EA traded sector total factor productivity (TFP) by estimating a vector error correction model (VECM). To account for this relationship, we incorporate non-stationary technology shocks in the traded sectors in our model, and show that then the model is able to match the observed volatility of the UK-EA real exchange rate. Our analysis points out that both the presence of non-traded sectors and non-stationary technology shocks are necessary to account for the observed volatility in the real exchange rate.Oxford University Press2023202320202023info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion21 p.application/pdfapplication/pdfhttps://hdl.handle.net/2445/200300Articles publicats en revistes (Economia)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: https://doi.org/10.1093/oep/gpz029Oxford Economic Papers, 2020, vol. 72, num. 1, p. 80-100https://doi.org/10.1093/oep/gpz029(c) Dogan, Aydan et al., 2020info:eu-repo/semantics/openAccessoai:recercat.cat:2445/2003002026-05-29T05:05:01Z
dc.title.none.fl_str_mv Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
title Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
spellingShingle Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
Dogan, Aydan
Mercat financer
Transferència de tecnologia
Tecnologia
Financial market
Technology transfer
Technology
title_short Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
title_full Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
title_fullStr Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
title_full_unstemmed Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
title_sort Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks
dc.creator.none.fl_str_mv Dogan, Aydan
Bettendorf, Timo
author Dogan, Aydan
author_facet Dogan, Aydan
Bettendorf, Timo
author_role author
author2 Bettendorf, Timo
author2_role author
dc.subject.none.fl_str_mv Mercat financer
Transferència de tecnologia
Tecnologia
Financial market
Technology transfer
Technology
topic Mercat financer
Transferència de tecnologia
Tecnologia
Financial market
Technology transfer
Technology
description International real business cycle (IRBC) models predict a real exchange rate volatility that is much lower than the levels observed in the data. In this paper, we build a two-country IRBC model with both a traded and a non-traded goods sector, and calibrate it to UK-euro area (EA) data. We provide evidence on the existence of a cointegrating relationship between UK and EA traded sector total factor productivity (TFP) by estimating a vector error correction model (VECM). To account for this relationship, we incorporate non-stationary technology shocks in the traded sectors in our model, and show that then the model is able to match the observed volatility of the UK-EA real exchange rate. Our analysis points out that both the presence of non-traded sectors and non-stationary technology shocks are necessary to account for the observed volatility in the real exchange rate.
publishDate 2020
dc.date.none.fl_str_mv 2020
2023
2023
2023
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/200300
url https://hdl.handle.net/2445/200300
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1093/oep/gpz029
Oxford Economic Papers, 2020, vol. 72, num. 1, p. 80-100
https://doi.org/10.1093/oep/gpz029
dc.rights.none.fl_str_mv (c) Dogan, Aydan et al., 2020
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Dogan, Aydan et al., 2020
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 21 p.
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Oxford University Press
publisher.none.fl_str_mv Oxford University Press
dc.source.none.fl_str_mv Articles publicats en revistes (Economia)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812455

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