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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. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w8824.pdf(191KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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