| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3808 |
| DP3808 Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? | |
| Philippe Bacchetta; Eric van Wincoop | |
| 发表日期 | 2003-02-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We study the effect of regional expenditure and revenue shocks on price dispersion in a monetary union using annual US state and quarterly EU data. We identify fiscal shocks using sign restrictions on the dynamics of expenditures, revenues, deficits and output. We construct two estimates for structural price dispersion dynamics, one for the average and one for each unit, which optimally weight the information contained in the data for all units. We find that fiscal shocks explain between 10-20% of the variability of price dispersion in the US and between 3-4% in the EU. On average, the predictions of standard theory are confirmed: expansionary fiscal disturbances produce positive price dispersion responses in both areas while distortionary balance budget shocks produce negative price responses. In about one third of the units, negative price dispersion responses to expansionary fiscal shocks are observed. Further, heterogeneities in shapes and peak responses are observed. Explanations for the puzzling features are provided. |
| 主题 | International Macroeconomics |
| 关键词 | Fiscal policy Price dispersions Bayesian techniques Supply effects |
| URL | https://cepr.org/publications/dp3808 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532797 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. DP3808 Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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