| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14381 |
| 来源ID | Working Paper 14381 |
| Accounting for Persistence and Volatility of Good-Level Real Exchange Rates: The Role of Sticky Information | |
| Mario J. Crucini; Mototsugu Shintani; Takayuki Tsuruga | |
| 发表日期 | 2008-10-02 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Volatile and persistent real exchange rates are observed not only in aggregate series but also in the individual good level data. Kehoe and Midrigan (2007) recently showed that, under a standard assumption on nominal price stickiness, empirical frequencies of micro price adjustment cannot replicate the time-series properties of the law-of-one-price deviations. We extend their sticky price model by combining good specific price adjustment with information stickiness in the sense of Mankiw and Reis (2002). Under a reasonable assumption on the money growth process, we show that the model fully explains both persistence and volatility of the good-level real exchange rates. Furthermore, our framework allows for multiple cities within a country. Using a panel of U.S.-Canadian city pairs, we estimate a dynamic price adjustment process for each 165 individual goods. The empirical result suggests that the dispersion of average time of information update across goods is comparable to that of average time of price adjustment. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Macroeconomics ; Business Cycles ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w14381 |
| 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/572056 |
| 推荐引用方式 GB/T 7714 | Mario J. Crucini,Mototsugu Shintani,Takayuki Tsuruga. Accounting for Persistence and Volatility of Good-Level Real Exchange Rates: The Role of Sticky Information. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14381.pdf（485KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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