全球智库信息集成服务系统(G2TT): Productivity and the Euro-Dollar Exchange Rate Puzzle

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8824
来源ID	Working Paper 8824
	Productivity and the Euro-Dollar Exchange Rate Puzzle
	Ron Alquist; Menzie D. Chinn
发表日期	2002-03-07
出版年	2002
语种	英语
摘要	This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. We estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area productivity differential results in a five percentage point real appreciation of the dollar. This finding is robust to the estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity-based models cannot explain the observed patterns with the standard set of assumptions, and describe a case in which the model can be reconciled with the observed data.
主题	International Economics ; International Finance ; International Macroeconomics
URL	https://www.nber.org/papers/w8824
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566431
推荐引用方式 GB/T 7714	Ron Alquist,Menzie D. Chinn. Productivity and the Euro-Dollar Exchange Rate Puzzle. 2002.