| 来源类型 | Discussion paper
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| 规范类型 | 论文
|
| 来源ID | DP5393
|
| DP5393 Inattentive Producers |
| [unavailable]
|
| 发表日期 | 2005-12-12
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | This paper develops a quantitative, dynamic, open-economy model which endogenously generates high exchange rate volatility, whereas a low degree of exchange rate pass-through (ERPT) stems from both nominal rigidities (in the form of local currency pricing) and price discrimination. We model real exchange rate volatility in response to real shocks by reconsidering and extending two approaches suggested by the quantitative literature (one by Backus Kehoe and Kydland [1995], the other by Chari, Kehoe and McGrattan [2003]), within a common framework with incomplete markets and segmented domestic economies. We show that, in our framework, both approaches are successful in generating volatility without any need for nominal shocks, and without suffering from shortcomings such as a fall in import volatility. Our model accounts for a variable degree of ERPT over different horizons. In the short run, we find that a very small amount of nominal rigidities --- consistent with the evidence in Bils and Klenow [2004] --- lowers the elasticity of import prices at border and consumer level to 27% and 13%, respectively. Still, exchange rate depreciation worsens the terms of trade -- in accord with the evidence stressed by Obstfeld and Rogoff [2000]. In the long run, ERPT coefficients are also below one, as a result of price discrimination. We run a set of regressions adopted by the empirical literature on ERPT, typically plagued by omitted variable bias and measurement errors, on the time series generated by our model. The ERPT estimates are biased, although in most cases reasonable; most regressions can detect differences between short-run and long-run ERPT. We show that the quality of empirical proxies for marginal costs and demand typically vary depending on the shocks (real vs. nominal) hitting the economy. |
| 主题 | International Macroeconomics
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| 关键词 | International business cycle
Exchange rate volatility
Pass-through
International transmission
Dsge models
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| URL | https://cepr.org/publications/dp5393
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534253
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推荐引用方式
GB/T 7714 |
[unavailable]. DP5393 Inattentive Producers. 2005.
|
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